DocumentCode :
321394
Title :
Relations among ODEs, PDEs, FSDEs, BSDEs, and FBSDEs
Author :
Yong, Jiongmin
Author_Institution :
Dept. of Math., Fudan Univ., Shanghai, China
Volume :
3
fYear :
1997
fDate :
10-12 Dec 1997
Firstpage :
2779
Abstract :
In this paper, we first recall some classical results concerning the relationship among ordinary differential equations (ODEs), partial DEs (PDEs) and stochastic DEs (SDEs), known as the Hamilton-Jacobi theory and Feynman-Kac formula. Then the results involving optimal control, and the recent results of backward SDEs (BSDEs) and/or forward-backward stochastic differential equations (FBSDEs) are presented
Keywords :
differential equations; dynamic programming; optimal control; stochastic processes; Feynman-Kac formula; Hamilton-Jacobi theory; backward stochastic differential equations; dynamic programming; forward-backward stochastic differential equations; optimal control; ordinary differential equations; partial differential equations; Control systems; Cost function; Educational programs; Equations; Extraterrestrial measurements; Jacobian matrices; Mathematics; Optimal control; Statistics; Stochastic processes;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Decision and Control, 1997., Proceedings of the 36th IEEE Conference on
Conference_Location :
San Diego, CA
ISSN :
0191-2216
Print_ISBN :
0-7803-4187-2
Type :
conf
DOI :
10.1109/CDC.1997.657832
Filename :
657832
Link To Document :
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