• 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
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=321394