scientific article; zbMATH DE number 3918246

zbMATH Open0574.93071MaRDI QIDQ3693418FDOQ3693418

Authors P.-L. Lions

Publication date 1985

zbMATH Keywords

state constraintsreflecting boundary conditionsexit problemscontrol of stochastic systemsforced state constraints

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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) Optimal stochastic control (93E20)

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