Stochastic Hamilton–Jacobi–Bellman Equations (Q3988945)
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scientific article; zbMATH DE number 33603
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| English | Stochastic Hamilton–Jacobi–Bellman Equations |
scientific article; zbMATH DE number 33603 |
Statements
Stochastic Hamilton–Jacobi–Bellman Equations (English)
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28 June 1992
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dynamic programming
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Riccati equation
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backward stochastic differential equation
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nonlinear stochastic partial differential equation
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Hamilton- Jacobi-Bellman equation
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0.8659436702728271
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0.8519822955131531
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