Stochastic Control Theory
DOI10.1007/978-4-431-55123-2zbMATH Open1306.93077OpenAlexW2498807917MaRDI QIDQ5495097FDOQ5495097
Authors: Makiko Nisio 
Publication date: 30 July 2014
Published in: Probability Theory and Stochastic Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-4-431-55123-2
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dynamic programmingHamilton-Jacobi-Bellman equationoptimal stochastic controlviscosity solutionsverification theoremcontrolled diffusions
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
Cited In (30)
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