Optimal Control Problems of Fully Coupled FBSDEs and Viscosity Solutions of Hamilton-Jacobi-Bellman Equations

Juan Li, Qingmeng Wei. Optimal Control Problems of Fully Coupled FBSDEs and Viscosity Solutions of Hamilton-Jacobi-Bellman Equations. SIAM J. Control and Optimization, 52(3):1622-1662, 2014. [doi]

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