Existence of stochastic control under state constraints
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Publication:4218616
DOI10.1016/S0764-4442(98)80096-7zbMath1036.49026MaRDI QIDQ4218616
Shige Peng, Marc Quincampoix, Rainer Buckdahn, Catherine Rainer
Publication date: 28 March 2004
Published in: Comptes Rendus de l'Académie des Sciences - Series I - Mathematics (Search for Journal in Brave)
Hamilton-Jacobi-Bellman equationstochastic controlviscosity supersolutionstate constraintviability problem
Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Existence of optimal solutions to problems involving randomness (49J55)
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