STOCHASTIC HAMILTON-JACOBI-BELLMAN EQUATION AND VISCOSITY SOLUTIONS IN THE CASE OF MAXIMIZING THE EXPECTATION OF THE UTILITY FUNCTION (Q6170163)
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scientific article; zbMATH DE number 7727207
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| English | STOCHASTIC HAMILTON-JACOBI-BELLMAN EQUATION AND VISCOSITY SOLUTIONS IN THE CASE OF MAXIMIZING THE EXPECTATION OF THE UTILITY FUNCTION |
scientific article; zbMATH DE number 7727207 |
Statements
STOCHASTIC HAMILTON-JACOBI-BELLMAN EQUATION AND VISCOSITY SOLUTIONS IN THE CASE OF MAXIMIZING THE EXPECTATION OF THE UTILITY FUNCTION (English)
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15 August 2023
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optimal stochastic control
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stochastic Hamilton-Jacobi-Bellman equation
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viscosity solution
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semimartingale
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