A weak dynamic programming principle for combined optimal stopping/stochastic control with \({\mathcal E}^{f}\)-expectations (Q2818213)
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scientific article; zbMATH DE number 6624241
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| English | A weak dynamic programming principle for combined optimal stopping/stochastic control with \({\mathcal E}^{f}\)-expectations |
scientific article; zbMATH DE number 6624241 |
Statements
6 September 2016
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Markovian stochastic control
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mixed optimal control/stopping
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nonlinear expectation
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backward stochastic differential equation
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weak dynamic programming principle
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Hamilton-Jacobi-Bellman variational inequality
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viscosity solution
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\({\mathcal E}^f\)-expectation
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A weak dynamic programming principle for combined optimal stopping/stochastic control with \({\mathcal E}^{f}\)-expectations (English)
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0.8326176404953003
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0.8105447888374329
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0.8061952590942383
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0.8058387041091919
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0.7929873466491699
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