Stochastic Control Theory
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Publication:5495097
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)
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