Optimal stochastic control with recursive cost functionals of stochastic differential systems reflected in a domain (Q2949592)
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scientific article; zbMATH DE number 6488332
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| English | Optimal stochastic control with recursive cost functionals of stochastic differential systems reflected in a domain |
scientific article; zbMATH DE number 6488332 |
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Optimal stochastic control with recursive cost functionals of stochastic differential systems reflected in a domain (English)
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2 October 2015
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optimal stochastic control
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backward stochastic differential equations
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value function
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Hamilton-Jacobi-Bellman equation
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viscosity solution
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nonlinear Neumann boundary
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dynamic programming principle
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0.9647792
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0.9204807
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0.9185466
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0.91737044
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0.91508657
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0.9116418
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0.9115123
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