Optimal control of diffusions: A verification theorem for viscosity solutions
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Publication:1350948
DOI10.1016/0167-6911(96)00027-8zbMath0883.93060OpenAlexW2009166634MaRDI QIDQ1350948
Michael Kohlmann, Peter Renner
Publication date: 27 February 1997
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6911(96)00027-8
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Cites Work
- Asymptotic expansions for Markov processes with Lévy generators
- Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
- The connection between the maximum principle and dynamic programming in stochastic control
- The second order minimum principle and adjoint process
- Unnamed Item
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