Near-optimal control of stochastic recursive systems via viscosity solution
DOI10.1007/s10957-018-1300-yzbMath1396.93136OpenAlexW2799629395MaRDI QIDQ1670094
Publication date: 4 September 2018
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-018-1300-y
forward-backward stochastic differential equationsdynamic programming principlenear-optimal controlsuper-/subdifferentials
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming (90C39) Optimal stochastic control (93E20) Control/observation systems governed by ordinary differential equations (93C15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
Related Items (2)
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