Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality
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Publication:1731857
DOI10.1016/j.jde.2018.11.006zbMath1409.93074arXiv1811.01311OpenAlexW2963548245WikidataQ128971610 ScholiaQ128971610MaRDI QIDQ1731857
Publication date: 14 March 2019
Published in: Journal of Differential Equations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1811.01311
optimal controlviscosity solutionsingular controlforward-backward stochastic differential equationsdynamic programming principleHamilton-Jacobi-Bellman inequality
Dynamic programming (90C39) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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Second‐order necessary optimality conditions for discrete‐time stochastic systems ⋮ Singular optimal controls for stochastic recursive systems under convex control constraint
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