Optimal Control under Stochastic Target Constraints

DOI10.1137/090757629zbMath1203.93208OpenAlexW2106163103MaRDI QIDQ3162598

Bruno Bouchard, Romuald Elie, Cyril Imbert

Publication date: 20 October 2010

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/090757629

zbMATH Keywords

optimal controlstochastic target problemdiscontinuous viscosity solutionsstate constraint problems

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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