Controlled ordinary differential equations with random path-dependent coefficients and stochastic path-dependent Hamilton-Jacobi equations
DOI10.1016/j.spa.2022.09.001zbMath1500.49007arXiv2005.01232OpenAlexW3021448757WikidataQ115341098 ScholiaQ115341098MaRDI QIDQ2093689
Publication date: 27 October 2022
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2005.01232
viscosity solutionstochastic optimal controlbackward stochastic partial differential equationstochastic path-dependent Hamilton-Jacobi equation
Existence theories for optimal control problems involving ordinary differential equations (49J15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Existence of optimal solutions to problems involving randomness (49J55) Viscosity solutions to PDEs (35D40) Hamilton-Jacobi equations (35F21)
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Cites Work
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