Feynman-KAC representation for hamilton-jacobi-bellman IPDE

Annals of Probability

Volumn 43, Issue 4, 2015, Pages 1823-1865

  Kharroubi, Idris ^a   Pham, Huyên ^a,b  

^a CNRS   (France)

^b CREST   (France)

Author keywords

BSDE with jumps; Constrained BSDE; Hamilton jacobi bellman equation; Inf convolution; Nonlinear integral PDE; Regime switching jump diffusion; Semiconcave approximation; Viscosity solutions

Indexed keywords

EID: 84930838763     PISSN: 00911798     EISSN: None     Source Type: Journal    
DOI: 10.1214/14-AOP920     Document Type: Article

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