Regular finite fuel stochastic control problems with exit time
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Publication:328524
DOI10.1007/s00186-016-0536-2zbMath1347.93271arXiv1501.07437OpenAlexW1535069543MaRDI QIDQ328524
Dmitry B. Rokhlin, Georgii Mironenko
Publication date: 20 October 2016
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1501.07437
viscosity solutionexit timefinite fueloptimal correctionoptimal trackingregular finite fuel stochastic control problem
Applications of optimal control and differential games (49N90) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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