Hamilton-Jacobi theory and the stochastic elementary formula

DOI10.1142/9789814360920_0012MaRDI QIDQ4906099zbMATH OpenOpenAlexFDO

Authors Andrew Neate, Aubrey Truman

Publication date 21 February 2013

Published in Interdisciplinary Mathematical Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/9789814360920_0012

zbMATH Keywords

Hamilton-Jacobi-Bellman equationBurges equationElworthy-Truman formula

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Hamilton-Jacobi equations (35F21) PDEs with randomness, stochastic partial differential equations (35R60) Research exposition (monographs, survey articles) pertaining to partial differential equations (35-02)

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