An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients (Q458360)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients |
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An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients (English)
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7 October 2014
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stochastic maximum principle
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discounted control problem
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forward-backward stochastic differential equations
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degenerate diffusion
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