Stochastic recursive optimal control problem of reflected stochastic differential systems (Q5130093)
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scientific article; zbMATH DE number 7269509
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic recursive optimal control problem of reflected stochastic differential systems |
scientific article; zbMATH DE number 7269509 |
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Stochastic recursive optimal control problem of reflected stochastic differential systems (English)
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3 November 2020
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stochastic recursive optimal control
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generalised reflected backward stochastic differential equations
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dynamic programming principle
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viscosity solution
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nonlinear Neumann boundary condition
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