Regularity properties for general HJB equations.A BSDE method

• 作 者: JuanLi;
• 机 构: School of Mathematics and Statistics,Shandong University at Weihai, Weihai, Shandong Province, 26420
• 出 处: The Third IMS-China International Conference on Statistics a
• 发表日期: 2011年期

　　In this work we investigate regularity properties of a large class of HamiltonJacobi-Bellman (HJB) equations with or without obstacles, which can be stochastically interpreted in form of a stochastic control system which nonlinear cost functional is defined with the help of a backward stochastic differential equation (BSDE) or a reflected BSDE (RBSDE).