Stochastic Control and Mathematical Modeling
DOI10.1017/CBO9781139087353zbMath1242.93003MaRDI QIDQ3558487
Publication date: 5 May 2010
stochastic differential equation; dynamic programming; viscosity solution; optimal stopping; stochastic control; production planning; Hamilton--Jacobi--Bellman equation; optimal consumption/investment model; optimal pollution control
49L20: Dynamic programming in optimal control and differential games
91B70: Stochastic models in economics
93-02: Research exposition (monographs, survey articles) pertaining to systems and control theory
93E20: Optimal stochastic control
93E03: Stochastic systems in control theory (general)
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games
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