Dynamic programming principle and viscosity solutions of Hamilton-Jacobi-Bellman equations for stochastic recursive control problem with non-Lipschitz generator
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Publication:2198169
DOI10.1007/s00245-018-9551-4zbMath1448.93314OpenAlexW2908000736MaRDI QIDQ2198169
Yuchao Dong, Jiangyan Pu, Yu Zhuo
Publication date: 9 September 2020
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-018-9551-4
Hamilton-Jacobi-Bellman equationviscosity solutionnon-Lipschitz generatorstochastic recursive control problem
Control/observation systems governed by partial differential equations (93C20) Dynamic programming (90C39) Stochastic systems in control theory (general) (93E03) Viscosity solutions to PDEs (35D40) Hamilton-Jacobi equations (35F21)
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