SOLVABILITY OF FORWARD-BACKWARD SDES AND THE NODAL SET OF HAMILTON-JACOBI-BELLMAN EQUATIONS-中国期刊网

摘要 Thesolvabilityofaclassofforward-backwardstochasticdifferentialequations(SDEsforshort)overanarbitrarilyprescribedtimedurationisstudied.Theauthorsdesignastochasticrelaxedcontrolproblem,withbothdriftanddifftusionallbeingcontrolled,sothatthesolvabilityproblemisconvertedtoaproblemoffindingthenodalsetoftheviscositysolutiontoacertainHamilton-Jacobi-Bellmanequation.ThismethodovercomesthefataldifficultyencounteredinthetraditionalcontractionmappingapproachtotheexistencetheoremofsuchSDEs.

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SOLVABILITY OF FORWARD-BACKWARD SDES AND THE NODAL SET OF HAMILTON-JACOBI-BELLMAN EQUATIONS

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SOLVABILITY OF FORWARD-BACKWARD SDES AND THE NODAL SET OF HAMILTON-JACOBI-BELLMAN EQUATIONS

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