New approach to stochastic optimal control

DOI10.1007/s10957-007-9262-5zbMath1125.93070OpenAlexW1993435268MaRDI QIDQ2465462

Ricardo Josa-Fombellida, Juan Pablo Rincón-Zapatero

Publication date: 4 January 2008

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/5569

zbMATH Keywords

Hamilton-Jacobi-Bellman equationItô's formulaSemilinear parabolic equationOptimal stochastic control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (7)

Stochastic optimal control to a nonlinear differential game ⋮ On a PDE arising in one-dimensional stochastic control problems ⋮ Markov perfect Nash equilibria in models with a single capital stock ⋮ Dynamic potential games: the discrete-time stochastic case ⋮ New approach to stochastic optimal control ⋮ The optimal investment, liability and dividends in insurance ⋮ Euler-Lagrange equations of stochastic differential games: application to a game of a productive asset

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