scientific article; zbMATH DE number 3922508

MaRDI QIDQ3697012zbMATH OpenFDO

Authors Wendell Fleming, Panagiotis E. Souganidis

Publication date 1985

zbMATH Keywords

optimal exit probabilitiesviscosity solution

Mathematics Subject Classification ID

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

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