Optimal controls of stochastic differential equations with jumps and random coefficients: stochastic Hamilton-Jacobi-Bellman equations with jumps
DOI10.1007/s00245-022-09914-8zbMath1501.49018arXiv2011.04211OpenAlexW3102721921WikidataQ115388176 ScholiaQ115388176MaRDI QIDQ2096949
Yuchao Dong, Qingxin Meng, Shanjian Tang, Yang Shen
Publication date: 11 November 2022
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2011.04211
dynamic programmingstochastic controlstochastic Hamilton-Jacobi-Bellman (HJB) equationstochastic partial integral differential equation
Optimality conditions for problems involving partial differential equations (49K20) Brownian motion (60J65) Dynamic programming (90C39) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Optimality conditions for problems involving randomness (49K45) Hamilton-Jacobi equations (35F21) Jump processes on general state spaces (60J76)
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