scientific article; zbMATH DE number 3918246

MaRDI QIDQ3693418zbMATH OpenFDO

Authors P.-L. Lions

Publication date 1985

zbMATH Keywords

control of stochastic systemsexit problemsforced state constraintsreflecting boundary conditionsstate constraints

Mathematics Subject Classification ID

Nonlinear boundary value problems for linear elliptic equations (35J65) Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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