On Bellman's equations for mean and variance control of a Markov diffusion
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Publication:3585322
DOI10.1080/17442500902723567zbMath1207.60041MaRDI QIDQ3585322
Georgios Aivaliotis, Alexander Yu. Veretennikov
Publication date: 19 August 2010
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442500902723567
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
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