Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations (Q255513): Difference between revisions
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| Property / Mathematics Subject Classification ID: 93E20 / rank | |||
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| Property / Mathematics Subject Classification ID: 49L20 / rank | |||
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| Property / Mathematics Subject Classification ID: 60H10 / rank | |||
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| Property / zbMATH DE Number: 6552482 / rank | |||
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path-dependent optimal stochastic control | |||
| Property / zbMATH Keywords: path-dependent optimal stochastic control / rank | |||
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path-dependent Bellman equation | |||
| Property / zbMATH Keywords: path-dependent Bellman equation / rank | |||
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viscosity solution | |||
| Property / zbMATH Keywords: viscosity solution / rank | |||
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backward SDE | |||
| Property / zbMATH Keywords: backward SDE / rank | |||
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dynamic programming | |||
| Property / zbMATH Keywords: dynamic programming / rank | |||
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Revision as of 13:14, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations |
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Statements
Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations (English)
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9 March 2016
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path-dependent optimal stochastic control
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path-dependent Bellman equation
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viscosity solution
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backward SDE
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dynamic programming
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