scientific article; zbMATH DE number 4174815

MaRDI QIDQ3199307zbMATH OpenFDO

Authors Nicole El Karoui, Monique Jeanblanc

Publication date 1988

Full work available at URL http://www.numdam.org/item?id=SPS_1988__22__508_0, https://eudml.org/doc/113652

zbMATH Keywords

Markov processHamilton-Jacobi-Bellman equationdynamic programming principleexponential supermartingale

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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