Time-symmetric optimal stochastic control problems in space-time domains

DOI10.1080/02331934.2021.2017430MaRDI QIDQ5044099zbMATH OpenOpenAlexFDO

Authors

Publication date 24 October 2022

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2007.02110

zbMATH Keywords

Bernstein processes on random time intervalsfree boundary PDEshidden diffusionsstochastic optimal control

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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Cited in

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• Stochastic time-optimal control problems

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