Pathwise Stochastic Control Problems and Stochastic HJB Equations
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Publication:5426921
DOI10.1137/S036301290444335XzbMath1140.60031MaRDI QIDQ5426921
Publication date: 16 November 2007
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s036301290444335x
93E99: Stochastic systems and control
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
90C39: Dynamic programming
34F05: Ordinary differential equations and systems with randomness
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