A remark on one-dimensional controlled diffusion processes

DOI10.1080/17442508608833401MaRDI QIDQ3734285zbMATH OpenOpenAlexFDO

Authors Jean-Michel Coron, P.-L. Lions

Publication date 1986

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508608833401

zbMATH Keywords

diffusion processesHamilton-Jacobi-Bellman equationsone-dimensional control

Mathematics Subject Classification ID

Nonlinear elliptic equations (35J60) Dynamic programming in optimal control and differential games (49L20) Diffusion processes (60J60) Optimal stochastic control (93E20)

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Cites work

• An Inequality in the Theory of Stochastic Integrals
• On Itô’s Stochastic Integral Equations
• On the existence and unicity of solutions of stochastic integral equations
• On the existence, uniqueness, convergence and explosions of solutions of systems of stochastic integral equations

Cited in

(2)

• Weak solution for a class of fully nonlinear stochastic Hamilton-Jacobi-Bellman equations
• A remark on the attainable distributions of controlled diffusions

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