scientific article; zbMATH DE number 47431

MaRDI QIDQ3998553zbMATH OpenFDO

Authors Hui Huang

Publication date 17 September 1992

zbMATH Keywords

diffusion processesexistence of \(\varepsilon\)-optimal controlsHamilton-Jacobi-Bellman (HJB) equationsjump processmartingale methodperturbed capacity expansionpiecewise continuous stochastic processesweak regularity

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving randomness (49K45) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

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