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- W2555124620 abstract "In this article, the notion of viscosity solution is introduced for the path-dependent Hamilton-Jacobi-Bellman (PHJB) equations associated with the optimal control problems for path-dependent stochastic differential equations. We identify the value functional of the optimal control problems as unique viscosity solution to the associated PHJB equations. Applications to backward stochastic Hamilton-Jacobi-Bellman equations are also given." @default.
- W2555124620 created "2016-11-30" @default.
- W2555124620 creator A5032227062 @default.
- W2555124620 date "2016-11-16" @default.
- W2555124620 modified "2023-10-17" @default.
- W2555124620 title "Viscosity Solutions to Path-Dependent HJB Equation and Applications" @default.
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- W2555124620 doi "https://doi.org/10.48550/arxiv.1611.05533" @default.
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