Existence of stochastic control under state constraints

DOI10.1016/S0764-4442(98)80096-7zbMath1036.49026MaRDI QIDQ4218616

Shige Peng, Marc Quincampoix, Rainer Buckdahn, Catherine Rainer

Publication date: 28 March 2004

Published in: Comptes Rendus de l'Académie des Sciences - Series I - Mathematics (Search for Journal in Brave)

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic controlviscosity supersolutionstate constraintviability problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) 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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