Establishes global well-posedness for nonlocal linear equilibrium HJB equations via method of continuity and Schauder estimates, plus local well-posedness for the nonlinear case via linearization and fixed-point arguments.
Peng, A nonlinear Feynman–Kac formula and applications , in Proceedings of Symposium of System Sciences and Control Theory, World Scientific, 1992, pp
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On the Well-posedness of Hamilton-Jacobi-Bellman Equations of the Equilibrium Type
Establishes global well-posedness for nonlocal linear equilibrium HJB equations via method of continuity and Schauder estimates, plus local well-posedness for the nonlinear case via linearization and fixed-point arguments.