Characterization of stochastic control with optimal stopping in a Sobolev space
DOI10.1016/J.AUTOMATICA.2013.02.040zbMATH Open1360.93769OpenAlexW2013980050MaRDI QIDQ522802FDOQ522802
George Yin, Xiao Shan Chen, Fahuai Yi, Qingshuo Song
Publication date: 19 April 2017
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2013.02.040
optimal stoppingstochastic control[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=generalized+It%EF%BF%BD%EF%BF%BD+formula&go=Go generalized ItοΏ½οΏ½ formula]weak verification theorem
Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Control/observation systems in abstract spaces (93C25)
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Cited In (2)
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