{"id":"https://openalex.org/W2157267966","doi":"https://doi.org/10.1137/100816778","title":"Optimal Control Problems of Fully Coupled FBSDEs and Viscosity Solutions of Hamilton--Jacobi--Bellman Equations","display_name":"Optimal Control Problems of Fully Coupled FBSDEs and Viscosity Solutions of Hamilton--Jacobi--Bellman Equations","publication_year":2014,"publication_date":"2014-01-01","ids":{"openalex":"https://openalex.org/W2157267966","doi":"https://doi.org/10.1137/100816778","mag":"2157267966"},"language":"en","primary_location":{"id":"doi:10.1137/100816778","is_oa":false,"landing_page_url":"https://doi.org/10.1137/100816778","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5100421016","display_name":"Juan Li","orcid":"https://orcid.org/0000-0002-3300-0766"},"institutions":[{"id":"https://openalex.org/I154099455","display_name":"Shandong University","ror":"https://ror.org/0207yh398","country_code":"CN","type":"education","lineage":["https://openalex.org/I154099455"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Juan Li","raw_affiliation_strings":["Shandong University"],"affiliations":[{"raw_affiliation_string":"Shandong University","institution_ids":["https://openalex.org/I154099455"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5028645913","display_name":"Qingmeng Wei","orcid":"https://orcid.org/0000-0001-8564-9105"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Qingmeng Wei","raw_affiliation_strings":[],"affiliations":[]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5100421016"],"corresponding_institution_ids":["https://openalex.org/I154099455"],"apc_list":null,"apc_paid":null,"fwci":8.3743,"has_fulltext":false,"cited_by_count":60,"citation_normalized_percentile":{"value":0.97723609,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"52","issue":"3","first_page":"1622","last_page":"1662"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9785000085830688,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9782000184059143,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/hamilton\u2013jacobi\u2013bellman-equation","display_name":"Hamilton\u2013Jacobi\u2013Bellman equation","score":0.9521925449371338},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.8779739141464233},{"id":"https://openalex.org/keywords/hamilton\u2013jacobi-equation","display_name":"Hamilton\u2013Jacobi equation","score":0.6995756030082703},{"id":"https://openalex.org/keywords/viscosity-solution","display_name":"Viscosity solution","score":0.6902107000350952},{"id":"https://openalex.org/keywords/bellman-equation","display_name":"Bellman equation","score":0.6571545600891113},{"id":"https://openalex.org/keywords/stochastic-differential-equation","display_name":"Stochastic differential equation","score":0.5725222826004028},{"id":"https://openalex.org/keywords/lipschitz-continuity","display_name":"Lipschitz continuity","score":0.5589738488197327},{"id":"https://openalex.org/keywords/optimal-control","display_name":"Optimal control","score":0.5135459899902344},{"id":"https://openalex.org/keywords/stochastic-control","display_name":"Stochastic control","score":0.5052788853645325},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5033761858940125},{"id":"https://openalex.org/keywords/uniqueness","display_name":"Uniqueness","score":0.478512167930603},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.321117103099823},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.2728470265865326}],"concepts":[{"id":"https://openalex.org/C196978813","wikidata":"https://www.wikidata.org/wiki/Q3302775","display_name":"Hamilton\u2013Jacobi\u2013Bellman equation","level":3,"score":0.9521925449371338},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.8779739141464233},{"id":"https://openalex.org/C2778860007","wikidata":"https://www.wikidata.org/wiki/Q1060137","display_name":"Hamilton\u2013Jacobi equation","level":2,"score":0.6995756030082703},{"id":"https://openalex.org/C88731125","wikidata":"https://www.wikidata.org/wiki/Q7935676","display_name":"Viscosity solution","level":2,"score":0.6902107000350952},{"id":"https://openalex.org/C14646407","wikidata":"https://www.wikidata.org/wiki/Q1430750","display_name":"Bellman equation","level":2,"score":0.6571545600891113},{"id":"https://openalex.org/C51955184","wikidata":"https://www.wikidata.org/wiki/Q1545585","display_name":"Stochastic differential equation","level":2,"score":0.5725222826004028},{"id":"https://openalex.org/C22324862","wikidata":"https://www.wikidata.org/wiki/Q652707","display_name":"Lipschitz continuity","level":2,"score":0.5589738488197327},{"id":"https://openalex.org/C91575142","wikidata":"https://www.wikidata.org/wiki/Q1971426","display_name":"Optimal control","level":2,"score":0.5135459899902344},{"id":"https://openalex.org/C170131372","wikidata":"https://www.wikidata.org/wiki/Q7617811","display_name":"Stochastic control","level":3,"score":0.5052788853645325},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5033761858940125},{"id":"https://openalex.org/C2777021972","wikidata":"https://www.wikidata.org/wiki/Q22976830","display_name":"Uniqueness","level":2,"score":0.478512167930603},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.321117103099823},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.2728470265865326}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1137/100816778","is_oa":false,"landing_page_url":"https://doi.org/10.1137/100816778","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":17,"referenced_works":["https://openalex.org/W94839203","https://openalex.org/W1985050062","https://openalex.org/W1997481555","https://openalex.org/W2007734734","https://openalex.org/W2031072241","https://openalex.org/W2031340254","https://openalex.org/W2032316144","https://openalex.org/W2033603136","https://openalex.org/W2046553535","https://openalex.org/W2066197757","https://openalex.org/W2078895915","https://openalex.org/W2081458347","https://openalex.org/W2090857110","https://openalex.org/W2091265977","https://openalex.org/W2138297771","https://openalex.org/W2157883119","https://openalex.org/W2963672850"],"related_works":["https://openalex.org/W4306892756","https://openalex.org/W2358967034","https://openalex.org/W3153900688","https://openalex.org/W2962695587","https://openalex.org/W2754120543","https://openalex.org/W4301305831","https://openalex.org/W2963548356","https://openalex.org/W2094032802","https://openalex.org/W575255019","https://openalex.org/W2951339426"],"abstract_inverted_index":{"In":[0],"this":[1,58,140],"paper":[2],"we":[3,59,134,146],"study":[4],"stochastic":[5,13,64,101],"optimal":[6],"control":[7,102],"problems":[8],"of":[9,63,90,95,163],"fully":[10,25,156,181],"coupled":[11,26,157,182],"forward-backward":[12],"differential":[14],"equations":[15],"(FBSDEs).":[16],"The":[17],"recursive":[18],"cost":[19],"functionals":[20],"are":[21,39,47],"defined":[22],"by":[23,68],"controlled":[24],"FBSDEs.":[27,183],"We":[28,80,122,172],"use":[29],"a":[30,109,129,148,175],"new":[31,149],"method":[32],"to":[33,50,167],"prove":[34,123,147],"that":[35,82,111,124],"the":[36,42,51,61,87,91,96,100,112,125,137,143,160],"value":[37],"functions":[38],"deterministic,":[40],"satisfy":[41],"dynamic":[43],"programming":[44],"principle,":[45],"and":[46,106,132,152],"viscosity":[48],"solutions":[49],"associated":[52,113],"generalized":[53,176],"Hamilton--Jacobi--Bellman":[54],"(HJB)":[55],"equations.":[56],"For":[57],"generalize":[60],"notion":[62],"backward":[65],"semigroup":[66],"introduced":[67],"Peng":[69],"Topics":[70],"on":[71,86],"Stochastic":[72],"Analysis,":[73],"Science":[74],"Press,":[75],"Beijing,":[76],"1997,":[77],"pp.":[78],"85--138.":[79],"emphasize":[81],"when":[83,159],"$\\sigma$":[84,164],"depends":[85],"second":[88],"component":[89],"solution":[92],"$(Y,":[93],"Z)$":[94],"BSDE":[97],"it":[98],"makes":[99],"much":[103],"more":[104],"complicated":[105],"has":[107,128],"as":[108],"consequence":[110],"HJB":[114],"equation":[115,127],"is":[116,169],"combined":[117],"with":[118,165],"an":[119],"algebraic":[120,126],"equation.":[121],"unique":[130],"solution,":[131],"moreover,":[133],"also":[135,173],"give":[136],"representation":[138],"for":[139,155,179],"solution.":[141],"On":[142],"other":[144],"hand,":[145],"local":[150],"existence":[151],"uniqueness":[153],"result":[154],"FBSDEs":[158],"Lipschitz":[161],"constant":[162],"respect":[166],"$z$":[168],"sufficiently":[170],"small.":[171],"establish":[174],"comparison":[177],"theorem":[178],"such":[180]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":3},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":4},{"year":2022,"cited_by_count":6},{"year":2020,"cited_by_count":10},{"year":2019,"cited_by_count":5},{"year":2018,"cited_by_count":8},{"year":2017,"cited_by_count":7},{"year":2016,"cited_by_count":4},{"year":2015,"cited_by_count":5},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
