Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions (Q535333): Difference between revisions
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Revision as of 00:51, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions |
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Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions (English)
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11 May 2011
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jump diffusions
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stochastic optimal control
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maximum principle
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dynamic programming principle
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verification theorem
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viscosity solution
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