scientific article

Publication date: 1982

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

variational inequalities optimal stopping stochastic control second-order elliptic problems stochastic calculus impulse control filtering dynamic programming equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Nonlinear boundary value problems for linear elliptic equations (35J65) Dynamic programming (90C39) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Variational methods for second-order elliptic equations (35J20) Existence of optimal solutions to problems involving randomness (49J55) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to systems and control theory (93-01)

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