Generalized Hamilton--Jacobi--Bellman Equations with Dirichlet Boundary Condition and Stochastic Exit Time Optimal Control Problem (Q2796108)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Generalized Hamilton--Jacobi--Bellman Equations with Dirichlet Boundary Condition and Stochastic Exit Time Optimal Control Problem |
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Generalized Hamilton--Jacobi--Bellman Equations with Dirichlet Boundary Condition and Stochastic Exit Time Optimal Control Problem (English)
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23 March 2016
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stochastic optimal control
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exit time
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backward stochastic differential equations
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dynamic programming principle
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Hamilton-Jacobi-Bellman equations
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viscosity solutions
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