Stochastic Control Theory

DOI10.1007/978-4-431-55123-2zbMath1306.93077OpenAlexW2498807917MaRDI QIDQ5495097

Makiko Nisio

Publication date: 30 July 2014

Published in: Probability Theory and Stochastic Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-4-431-55123-2

zbMATH Keywords

Hamilton-Jacobi-Bellman equationdynamic programmingviscosity solutionsverification theoremcontrolled diffusionsoptimal stochastic control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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