scientific article; zbMATH DE number 1254163
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Publication:4227199
zbMath0918.93066MaRDI QIDQ4227199
Publication date: 23 February 1999
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hamilton-Jacobi-Bellman equationviscosity solutionstochastic differential gameLegendre transformationrisk sensitive criterionlogarithmic transformationupper Isaacs equation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Transformations (93B17) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
Related Items (3)
Risk-sensitive control and differential games in infinite dimensions ⋮ Path-dependent Hamilton-Jacobi equations in infinite dimensions ⋮ On the existence of stochastic optimal control of distributed state system
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