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A stochastic HJB equation for optimal control of forward-backward SDEs

Bernt Øksendal 1 Agnès Sulem 2 Tusheng Zhang 3
1 CMA - Center of Mathematics for Applications [Oslo]
2 MATHRISK - Mathematical Risk Handling
UPEM - Université Paris-Est Marne-la-Vallée, ENPC - École des Ponts ParisTech, Inria de Paris
3 School of Mathematics - Department of Mathematics [Manchester]
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https://hal.inria.fr/hal-01406655
Contributor : Martine Verneuille <>
Submitted on : Thursday, December 1, 2016 - 2:16:44 PM
Last modification on : Wednesday, February 26, 2020 - 7:06:17 PM

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  • HAL Id : hal-01406655, version 1

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Bernt Øksendal, Agnès Sulem, Tusheng Zhang. A stochastic HJB equation for optimal control of forward-backward SDEs. The Fascination of Probability, Statistics and their Applications, Springer Verlag, pp.11, 2016. ⟨hal-01406655⟩

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