Generalized Hamilton-Jacobi-Bellman equations with Dirichlet boundary condition and stochastic exit time optimal control problem (Q2796108)
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scientific article; zbMATH DE number 6559906
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Generalized Hamilton-Jacobi-Bellman equations with Dirichlet boundary condition and stochastic exit time optimal control problem |
scientific article; zbMATH DE number 6559906 |
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23 March 2016
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stochastic optimal control
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exit time
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backward stochastic differential equations
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dynamic programming principle
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Hamilton-Jacobi-Bellman equations
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viscosity solutions
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Generalized Hamilton-Jacobi-Bellman equations with Dirichlet boundary condition and stochastic exit time optimal control problem (English)
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