First Order BSPDEs in Higher Dimension for Optimal Control Problems (Q5347542)

scientific article; zbMATH DE number 6722968

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English	First Order BSPDEs in Higher Dimension for Optimal Control Problems	scientific article; zbMATH DE number 6722968

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instance of

scholarly article

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title

First Order BSPDEs in Higher Dimension for Optimal Control Problems (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

24 May 2017

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full work available at URL

https://arxiv.org/abs/1603.06825

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Mathematics Subject Classification ID

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stochastic optimal control

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Hamilton-Jacobi-Bellman equations

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backward SPDEs

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first order BSPDEs

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author

Nikolai G. Dokuchaev

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MaRDI profile type

MaRDI publication profile

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arXiv ID

1603.06825

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cites work

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Mathematics(1 entry)

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