A remark on one-dimensional controlled diffusion processes

DOI10.1080/17442508608833401zbMATH Open0598.93063OpenAlexW1988894897MaRDI QIDQ3734285FDOQ3734285

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

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zbMATH Keywords

Hamilton-Jacobi-Bellman equationsdiffusion processesone-dimensional control

Mathematics Subject Classification ID

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

Cites Work

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