Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton–Jacobi–Bellman Equation (Q3399259)
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scientific article
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| English | Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton–Jacobi–Bellman Equation |
scientific article |
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Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton–Jacobi–Bellman Equation (English)
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29 September 2009
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reflected backward stochastic differential equation
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recursive optimal control problem
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dynamic programming principle
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Hamilton-Jacobi-Bellman equation
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viscosity solution
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0.8876414895057678
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0.8676828742027283
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0.8600200414657593
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0.8596683740615845
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