Reducing a nonlinear dynamic programming equation to a kolomogorov equation
type: Item
instance of: scholarly article
title: Reducing a nonlinear dynamic programming equation to a kolomogorov equation
zbMATH Open document ID: 0887.93072
DOI: 10.1080/02331939708844355
published in: Optimization
publication date: 1998-05-05T00:00:00Z
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 49J15
zbMATH DE Number: 1097688
zbMATH Keywords: optimal stochastic control
zbMATH Keywords: Riccati equation
zbMATH Keywords: risk-sensitivity
zbMATH Keywords: Brownian motion
author: Mario Lefebvre
MaRDI profile type: MaRDI publication profile
full work available at URL: https://doi.org/10.1080/02331939708844355
OpenAlex ID: W2093702509
cites work: Q3221798
cites work: The risk-sensitive homing problem
cites work: Q3997540
cites work: Forcing a stochastic process to stay in or to leave a given region
cites work: Optimal control of an Ornstein-Uhlenbeck process
cites work: Commande optimale du processus de wiener
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description: scientific article; zbMATH DE number 1097688