A Viscosity Approach to a Stochastic Control Problem on a Bounded Domain
arXiv0911.0956MaRDI QIDQ6216200
Christian Houdré, Ruoting Gong
Publication date: 4 November 2009
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Degenerate parabolic equations (35K65) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Viscosity solutions to PDEs (35D40) Nonlinear initial, boundary and initial-boundary value problems for nonlinear parabolic equations (35K61)
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