Singular optimal controls for stochastic recursive systems under convex control constraint (Q1996318)
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English | Singular optimal controls for stochastic recursive systems under convex control constraint |
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Singular optimal controls for stochastic recursive systems under convex control constraint (English)
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4 March 2021
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dynamic programming principle
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forward-backward stochastic differential equations
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Malliavin calculus
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maximum principle
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singular optimal controls
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viscosity solution
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