A level-set approach for stochastic optimal control problems under controlled-loss constraints
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Publication:2198527
DOI10.1007/s10957-020-01724-8zbMath1448.93344arXiv1810.04267OpenAlexW2999063670MaRDI QIDQ2198527
Géraldine Bouveret, Athena Picarelli
Publication date: 10 September 2020
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1810.04267
Nonlinear parabolic equations (35K55) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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