Pathwise Stochastic Control Problems and Stochastic HJB Equations

DOI10.1137/S036301290444335XzbMath1140.60031OpenAlexW2021787300MaRDI QIDQ5426921

Jin Ma, Rainer Buckdahn

Publication date: 16 November 2007

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

Full work available at URL: https://doi.org/10.1137/s036301290444335x

zbMATH Keywords

dynamical programmingstochastic viscosity solutionsPathwise stochastic control

Mathematics Subject Classification ID

Stochastic systems and control (93E99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming (90C39) Ordinary differential equations and systems with randomness (34F05)

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