The Dynamic Programming Equation for Second Order Stochastic Target Problems

DOI10.1137/07071130XzbMath1229.91324WikidataQ57635928 ScholiaQ57635928MaRDI QIDQ3581024

Nizar Touzi, Halil Mete Soner

Publication date: 16 August 2010

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

viscosity solutionsgamma processstochastic target problemgeometric dynamic programming

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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