A stochastic HJB equation for optimal control of forward-backward SDEs
type: Dataset
description: We study optimal stochastic control problems of general coupled systems of forward- backward stochastic di erential equations with jumps. By means of the It^o-Ventzell formula the system is transformed to a controlled backward stochastic partial di eren- tial equation (BSPDE) with jumps. Using a comparison principle for such BSPDEs we obtain a general stochastic Hamilton-Jacobi- Bellman (HJB) equation for such control problems. In the classical Markovian case with optimal control of jump di usions, the equation reduces to the classical HJB equation. The results are applied to study risk minimization in nancial markets.
issued: 2026-05-07T19:12:53.162926
language: en
modified: 2026-05-07T19:12:53.162931
contact point: Organization
  fn: CCSD
keyword: infoeu-reposemanticspreprint
keyword: mathmath-gmmathematics-mathgeneral-mathematics-mathgm
keyword: preprints-working-papers-
landing page: https://inria.hal.science/hal-00919141

A stochastic HJB equation for optimal control of forward-backward SDEs
type: Distribution
format: HTML
issued: 2026-05-07T19:12:53.170521
modified: 2026-05-07T19:12:53.158319
access URL: https://inria.hal.science/hal-00919141

test_moissonnage_selune
type: Agent