Stochastic Hamiltonian-Jacobi-Bellman equation and stochastic Hamiltonian systems

DOI10.1007/BF02269422zbMath0967.60067MaRDI QIDQ1972722

Vassili N. Kolokol'tsov

Publication date: 13 April 2000

Published in: Journal of Dynamical and Control Systems (Search for Journal in Brave)

zbMATH Keywords

stochastic control theory; stochastic Schrödinger equation; stochastic Hamiltonian systems; stochastic Hamilton-Jacobi-Bellman equation; stochastic scattering; (nonlinear) stochastic partial differential equations of first order; stochastic maximum

Mathematics Subject Classification ID

60G60: Random fields

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

35F20: Nonlinear first-order PDEs

81U05: (2)-body potential quantum scattering theory

Related Items

The rate of escape for some Gaussian processes and the scattering theory for their small perturbations, Estimates for multiple stochastic integrals and stochastic Hamilton-Jacobi equations, The variational approach to Hamilton-Jacobi equations driven by a Gaussian noise

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