An optimal control problem for a Wiener process with random infinitesimal mean

DOI10.1478/AAPP.97S2A1MaRDI QIDQ7030123zbMATH OpenFDO

Authors Mario Lefebvre, Abderrazak Moutassim

Publication date 7 February 2025

Published in Atti della Accademia Peloritana dei Pericolanti. Classe di Scienze Fisiche, Matemàtiche e Naturali (Search for Journal in Brave)

Full work available at URL http://cab.unime.it/journals/index.php/AAPP/article/view/AAPP.97S2A1

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Diffusion processes (60J60) Optimal stochastic control (93E20)

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