Publication:3199307
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zbMath0713.93065MaRDI QIDQ3199307
Nicole El Karoui, Monique Jeanblanc-Picqué
Publication date: 1988
Full work available at URL: http://www.numdam.org/item?id=SPS_1988__22__508_0
Hamilton-Jacobi-Bellman equation; Markov process; dynamic programming principle; exponential supermartingale
49L20: Dynamic programming in optimal control and differential games
93E20: Optimal stochastic control
49K45: Optimality conditions for problems involving randomness
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