Compactification methods in the control of degenerate diffusions: existence of an optimal control

DOI10.1080/17442508708833443zbMath0613.60051OpenAlexW2149081875WikidataQ126243637 ScholiaQ126243637MaRDI QIDQ4720486

Nguyen Huu Du, Nicole El Karoui, Monique Jeanblanc-Picqué

Publication date: 1987

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508708833443

zbMATH Keywords

uniform ellipticity diffusions with jumps strong Markov process existence of an optimal control weak solution of a stochastic differential equation continuity type properties

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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