Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations (Q255513)

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English	Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations	scientific article

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instance of

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title

Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations (English)

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Discrete and Continuous Dynamical Systems

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publication date

9 March 2016

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full work available at URL

https://arxiv.org/abs/1210.2078

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zbMATH Keywords

path-dependent optimal stochastic control

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path-dependent Bellman equation

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viscosity solution

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backward SDE

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dynamic programming

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MaRDI profile type

MaRDI publication profile

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cites work

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\(W^{m,p}\)-solution (\(p\geqslant 2\)) of linear degenerate backward stochastic partial differential equations in the whole space

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Identifiers

zbMATH Open document ID

1332.93384

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Mathematics Subject Classification ID

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10.3934/DCDS.2015.35.5521

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Sitelinks

Mathematics(1 entry)

mardi Publication:255513