Verification theorems for stochastic optimal control problems via a time dependent Fukushima--Dirichlet decomposition (Q855922): Difference between revisions

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Latest revision as of 11:13, 25 June 2024

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Verification theorems for stochastic optimal control problems via a time dependent Fukushima--Dirichlet decomposition
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    Verification theorems for stochastic optimal control problems via a time dependent Fukushima--Dirichlet decomposition (English)
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    7 December 2006
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    Hamilton--Jacobi--Bellman (HJB) equations
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    stochastic calculus via regularization
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    Fukushima--Dirichlet decomposition
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    stochastic optimal control
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    verification theorems
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