A class of stochastic optimal control problems with state constraint

DOI10.1512/iumj.2002.51.2079zbMath1049.93091MaRDI QIDQ4431158

Paola Loreti, Hitoshi Ishii

Publication date: 13 October 2003

Published in: Indiana University Mathematics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1512/iumj.2002.51.2079

zbMATH Keywords

state constraints; dynamic programming; viscosity solution; stochastic optimal control

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

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