Dynamic programming principle and associated Hamilton-Jacobi-Bellman equation for stochastic recursive control problem with non-Lipschitz aggregator (Q3177921)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic programming principle and associated Hamilton-Jacobi-Bellman equation for stochastic recursive control problem with non-Lipschitz aggregator |
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Dynamic programming principle and associated Hamilton-Jacobi-Bellman equation for stochastic recursive control problem with non-Lipschitz aggregator (English)
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2 August 2018
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stochastic recursive control problem
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non-Lipschitz aggregator
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dynamic programming principle
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Hamilton-Jacobi-Bellman equation
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continuous-time Epstein-Zin utility
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viscosity solution
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