Title :
Relations among ODEs, PDEs, FSDEs, BSDEs, and FBSDEs
Author_Institution :
Dept. of Math., Fudan Univ., Shanghai, China
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;
Conference_Titel :
Decision and Control, 1997., Proceedings of the 36th IEEE Conference on
Conference_Location :
San Diego, CA
Print_ISBN :
0-7803-4187-2
DOI :
10.1109/CDC.1997.657832
