Optimal stochastic control with recursive cost functionals of stochastic differential systems reflected in a domain (Q2949592): Difference between revisions

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Latest revision as of 21:08, 10 July 2024

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Optimal stochastic control with recursive cost functionals of stochastic differential systems reflected in a domain
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    Optimal stochastic control with recursive cost functionals of stochastic differential systems reflected in a domain (English)
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    2 October 2015
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    optimal stochastic control
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    backward stochastic differential equations
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    value function
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    Hamilton-Jacobi-Bellman equation
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    viscosity solution
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    nonlinear Neumann boundary
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    dynamic programming principle
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