Representation Formulas for Limit Values of Long Run Stochastic Optimal Controls
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Publication:5130026
DOI10.1137/18M1169151zbMath1467.93326MaRDI QIDQ5130026
Jérôme Renault, Rainer Buckdahn, Juan Li, Marc Quincampoix
Publication date: 3 November 2020
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
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Infinite Horizon Linear Quadratic Overtaking Optimal Control Problems, Infinite horizon BSDEs under consistent nonlinear expectations, Representation of limit values for nonexpansive stochastic differential games
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