FULLY COUPLED FORWARD-BACKWARD SDES INVOLVING THE VALUE FUNCTION AND ASSOCIATED NONLOCAL HAMILTON−JACOBI−BELLMAN

Let u be the unique uniformly continuous viscosity solution of (1.4). Minimal time function.. To prove the claim of the theorem, we will use arguments from control theory. Let x be

One possible approach for getting a BSDE representation to path-dependent stochastic control, would be to prove that our minimal solution to the BSDE with nonpositive jumps is

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We prove existence and uniqueness of Crandall-Lions viscosity solutions of Hamilton- Jacobi-Bellman equations in the space of continuous paths, associated to the optimal control

Nous pouvons alors appliquer la méthode probabiliste de [8] pour montrer que (l’) est satisfaite.. La démonstration s’adapte telle quelle

des résultats principaux concernant la résolution de (3). Nous démontrons ensuite dans la section Il 1 le résultat d’équivalence. Enfin dans la section lil l nous

ergodic attractor -, Ann. LIONS, A continuity result in the state constraints system. Ergodic problem, Discrete and Continuous Dynamical Systems, Vol. LIONS,

Our results allow to state the theorem about existence and uniqueness of bilateral solutions in the class of functions that are bounded from below and satisfy the local