Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations (Q4691148)

scientific article; zbMATH DE number 6958424

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English	Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations	scientific article; zbMATH DE number 6958424

Statements

instance of

scholarly article

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title

Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations (English)

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author

Jinniao Qiu

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published in

SIAM Journal on Control and Optimization

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publication date

18 October 2018

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full work available at URL

https://arxiv.org/abs/1709.06143

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zbMATH Keywords

stochastic Hamilton-Jacobi-Bellman equation

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optimal stochastic control

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backward stochastic partial differential equation

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viscosity solution

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MaRDI profile type

Publication

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cites work

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Stochastic partial differential equations and filtering of diffusion processes

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Stochastic Hamilton–Jacobi–Bellman Equations

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Hörmander-type theorem for Itô processes and related backward SPDEs

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Identifiers

zbMATH Open document ID

1401.49030

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DOI

10.1137/17M1148232

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4691148