scientific article; zbMATH DE number 3922508

MaRDI QIDQ3697012zbMATH OpenFDO

Authors Wendell Fleming, Panagiotis E. Souganidis

Publication date 1985

zbMATH Keywords

viscosity solutionoptimal exit probabilities

Mathematics Subject Classification ID

Diffusion processes (60J60) Dynamic programming (90C39) Differential games (aspects of game theory) (91A23) Nonlinear first-order PDEs (35F20) Existence of optimal solutions to problems involving randomness (49J55) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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• Comparison principle for Dirichlet-type Hamilton-Jacobi equations and singular perturbations of degenerated elliptic equations
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