Stochastic control with rough paths (Q2400494)

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Stochastic control with rough paths
scientific article

    Statements

    title
    Stochastic control with rough paths (English)
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    author
    Joscha Diehl
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    Paul Gassiat
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    Peter K. Friz
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    publication date
    1 September 2017
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    zbMATH Keywords
    stochastic control
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    rough differential equations
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    rough paths
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    duality
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    Pontryagin maximum principle
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    Identifiers

    Mathematics Subject Classification ID
    60H10
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    60H99
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    93E20
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    zbMATH DE Number
    6768036
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