A class of stochastic optimal control problems with state constraint

DOI10.1512/IUMJ.2002.51.2079MaRDI QIDQ4431158zbMATH OpenOpenAlexFDO

Authors Hitoshi Ishii, P. Loreti

Publication date 13 October 2003

Published in Indiana University Mathematics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1512/iumj.2002.51.2079

zbMATH Keywords

dynamic programmingstate constraintsstochastic optimal controlviscosity solution

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)

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