Reducing a nonlinear dynamic programming equation to a kolomogorov equation (Q4372872)
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scientific article; zbMATH DE number 1097688
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| English | Reducing a nonlinear dynamic programming equation to a kolomogorov equation |
scientific article; zbMATH DE number 1097688 |
Statements
Reducing a nonlinear dynamic programming equation to a kolomogorov equation (English)
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5 May 1998
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optimal stochastic control
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Riccati equation
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risk-sensitivity
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Brownian motion
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0.8583319
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0.8557234
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0.85283244
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0.8523209
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0.8506019
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0.84947026
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0.84509224
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0.8443786
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0.8435503
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0.8401952
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