Stochastic Target Problems with Controlled Loss
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Publication:3162580
DOI10.1137/08073593XzbMath1202.49028OpenAlexW2115526061MaRDI QIDQ3162580
Romuald Elie, Nizar Touzi, Bruno Bouchard
Publication date: 20 October 2010
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/08073593x
Dynamic programming in optimal control and differential games (49L20) Nonlinear parabolic equations (35K55) Optimal stochastic control (93E20) Diffusion processes (60J60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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