Stochastic Hamilton–Jacobi–Bellman Equations
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Publication:3988945
DOI10.1137/0330018zbMath0747.93081OpenAlexW2086139156MaRDI QIDQ3988945
Publication date: 28 June 1992
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0330018
dynamic programmingRiccati equationbackward stochastic differential equationnonlinear stochastic partial differential equationHamilton- Jacobi-Bellman equation
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