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Backward Stochastic Differential Equations Coupled with Value Function and Related Optimal Control Problems
Joint Authors
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-17, 17 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-03-23
Country of Publication
Egypt
No. of Pages
17
Main Subjects
Abstract EN
We get a new type of controlled backward stochastic differential equations (BSDEs), namely, the BSDEs, coupled with value function.
We prove the existence and the uniqueness theorem as well as a comparison theorem for such BSDEs coupled with value function by using the approximation method.
We get the related dynamic programming principle (DPP) with the help of the stochastic backward semigroup which was introduced by Peng in 1997.
By making use of a new, more direct approach, we prove that our nonlocal Hamilton-Jacobi-Bellman (HJB) equation has a unique viscosity solution in the space of continuous functions of at most polynomial growth.
These results generalize the corresponding conclusions given by Buckdahn et al.
(2009) in the case without control.
American Psychological Association (APA)
Hao, Tao& Li, Juan. 2014. Backward Stochastic Differential Equations Coupled with Value Function and Related Optimal Control Problems. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-17.
https://search.emarefa.net/detail/BIM-1013588
Modern Language Association (MLA)
Hao, Tao& Li, Juan. Backward Stochastic Differential Equations Coupled with Value Function and Related Optimal Control Problems. Abstract and Applied Analysis No. 2014 (2014), pp.1-17.
https://search.emarefa.net/detail/BIM-1013588
American Medical Association (AMA)
Hao, Tao& Li, Juan. Backward Stochastic Differential Equations Coupled with Value Function and Related Optimal Control Problems. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-17.
https://search.emarefa.net/detail/BIM-1013588
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1013588