Optimal stochastic control with recursive cost functionals of stochastic differential systems reflected in a domain
Publication:2949592
DOI10.1051/cocv/2014062zbMath1341.49020arXiv1202.1412OpenAlexW2056909574MaRDI QIDQ2949592
Publication date: 2 October 2015
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1202.1412
Hamilton-Jacobi-Bellman equationviscosity solutionbackward stochastic differential equationsvalue functionoptimal stochastic controldynamic programming principlenonlinear Neumann boundary
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Nonlinear elliptic equations (35J60) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Existence of optimal solutions to problems involving randomness (49J55)
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