Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
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Publication:5317090
DOI10.1137/S0363012902419059zbMath1116.60033MaRDI QIDQ5317090
Publication date: 15 September 2005
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Sensitivity, stability, well-posedness (49K40) Sensitivity, stability, parametric optimization (90C31) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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