scientific article; zbMATH DE number 3751685

Authors Alain Bensoussan, Jacques-Louis Lions

Publication date 1982

linear second-order elliptic and parabolic equations optimal stopping times stochastic differential equations stochastic optimal control variational inequalities

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to calculus of variations and optimal control (49-02) Variational inequalities (49J40) Existence of optimal solutions to problems involving randomness (49J55) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Cited in

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Approximation of the Snell Envelope and American Options Prices in dimension one

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