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Grégoire Loeper

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Preprint Oct 2026

Differentiability and Convexity of the Solution Maps for Fully Non-linear Parabolic HJB Equations

We study the dependence on the terminal condition of solutions to a fully nonlinear parabolic Hamilton--Jacobi--Bellman (HJB) equation, when the terminal condition varies along a finite-dimensional family. This problem is motivated by a dual formulation of semimartingale optimal transport. The equation is posed as a te...

J. Chassagneux, St'ephane Cr'epey, Grégoire Loeper et al. · 0 citations

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