Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations (Q4691148)

scientific article; zbMATH DE number 6958424

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English	Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations	scientific article; zbMATH DE number 6958424

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instance of

scholarly article

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title

Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations (English)

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zbMATH Open document ID

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SIAM Journal on Control and Optimization

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publication date

18 October 2018

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full work available at URL

https://arxiv.org/abs/1709.06143

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Mathematics Subject Classification ID

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stochastic Hamilton-Jacobi-Bellman equation

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optimal stochastic control

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backward stochastic partial differential equation

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viscosity solution

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MaRDI profile type

MaRDI publication profile

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arXiv ID

1709.06143

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cites work

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Stochastic partial differential equations and filtering of diffusion processes

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Hörmander-type theorem for Itô processes and related backward SPDEs

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