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Publication:3159347
zbMath1076.93001MaRDI QIDQ3159347
Publication date: 15 February 2005
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
verification methodBlack-Scholes modelviscosity solutionsstochastic control problemsregularity of the value functionHamilton-Jacobi-Bellmann methodhedging contingent claims under portfolio constraints
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to systems and control theory (93-01)
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