Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models
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Publication:2110493
DOI10.1186/s13662-022-03747-zOpenAlexW4311079567MaRDI QIDQ2110493
Publication date: 21 December 2022
Published in: Advances in Continuous and Discrete Models (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s13662-022-03747-z
viscosity solutionspartial integro-differential equationsstochastic target problemsstate-constrained problemsjump-diffusion systems
Integro-partial differential equations (45K05) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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