scientific article; zbMATH DE number 3784772

MaRDI QIDQ3962901zbMATHFDO

Authors N. V. Krylov

Publication date 1981

zbMATH Keywords

unbounded coefficientsBellman principlecontrolled diffusion processBellman equality

Mathematics Subject Classification ID

Diffusion processes (60J60) Dynamic programming (90C39) Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

Cited in

(9)

• On time-inhomogeneous controlled diffusion processes in domains
• Backward stochastic differential equations with singular terminal condition
• A probabilistic approach to interior regularity of fully nonlinear degenerate elliptic equations in smooth domains
• ``Minimum toll control of diffusions
• Interior Regularity of Fully Nonlinear Degenerate Elliptic Equations I: Bellman Equations with Constant Coefficients
• Optimal principal agent contracts for a class of incentive schemes: A characterization and the rate of approach to efficiency
• A Calabi theorem for solutions to the parabolic Monge-Ampère equation with periodic data
• An extension of Jörgens-Calabi-Pogorelov theorem to parabolic Monge-Ampère equation
• Bankruptcy and expected utility maximization

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