Stochastic control with rough paths
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Publication:2400494
DOI10.1007/s00245-016-9333-9zbMath1373.60099arXiv1303.7160OpenAlexW2169865615MaRDI QIDQ2400494
Joscha Diehl, Paul Gassiat, Peter K. Friz
Publication date: 1 September 2017
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1303.7160
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic analysis (60H99)
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