Dynamic programming and error estimates for stochastic control problems with maximum cost (Q2340992)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic programming and error estimates for stochastic control problems with maximum cost |
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Dynamic programming and error estimates for stochastic control problems with maximum cost (English)
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21 April 2015
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dynamic programming
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stochastic optimal control
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Hamilton-Jacobi equations
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error estimates
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reachable sets
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oblique Neuman boundary condition
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lookback options
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maximum cost
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