New approach to stochastic optimal control
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Publication:2465462
DOI10.1007/S10957-007-9262-5zbMATH Open1125.93070OpenAlexW1993435268MaRDI QIDQ2465462FDOQ2465462
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
Hamilton-Jacobi-Bellman equationSemilinear parabolic equationOptimal stochastic controlItô's formula
Cites Work
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- Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
- New method to characterize subgame perfect Nash equilibria in differential games
- New approach to stochastic optimal control
- Characterization of Markovian equilibria in a class of differential games
- The optimal control of diffusions
- SOME NEW RESULTS IN THE THEORY OF CONTROLLED DIFFUSION PROCESSES
- Optimal feedback control of nonlinear systems
Cited In (8)
- Markov perfect Nash equilibria in models with a single capital stock
- Euler-Lagrange equations of stochastic differential games: application to a game of a productive asset
- The optimal investment, liability and dividends in insurance
- Stochastic optimal control to a nonlinear differential game
- On a PDE arising in one-dimensional stochastic control problems
- Dynamic potential games: the discrete-time stochastic case
- Stochastic variational formula for fundamental solutions of parabolic PDE
- New approach to stochastic optimal control
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