Une classe nouvelle de problèmes singuliers de contrôle stochastique

DOI10.1016/S0764-4442(00)01740-7zbMATH Open0971.49015OpenAlexW1992412825MaRDI QIDQ4763174FDOQ4763174

Authors: J.-M. Lasry, P.-L. Lions 

Publication date: 30 October 2001

Published in: Comptes Rendus de l'Académie des Sciences - Series I - Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0764-4442(00)01740-7

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zbMATH Keywords

dynamic programmingstochastic differential equationssingular stochastic control problems

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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