Une classe nouvelle de problèmes singuliers de contrôle stochastique

DOI10.1016/S0764-4442(00)01740-7MaRDI QIDQ4763174zbMATH OpenOpenAlexFDO

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

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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