Optimal control of stochastic functional differential equations with a bounded memory
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Publication:5451161
DOI10.1080/17442500701605494zbMath1138.93065OpenAlexW2115507580MaRDI QIDQ5451161
Mou-Hsiung Chang, Tao Pang, Moustapha Pemy
Publication date: 18 March 2008
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442500701605494
Hamilton-Jacobi-Bellman equationstochastic controlviscosity solutionsstochastic functional differential equations
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Generalized stochastic processes (60G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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Cites Work
- Theory of functional differential equations. 2nd ed
- Optimization of functions on certain subsets of Banach spaces
- Finite Difference Approximations for Stochastic Control Systems with Delay
- User’s guide to viscosity solutions of second order partial differential equations
- Dynamic programming in stochastic control of systems with delay
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