Reducing a nonlinear dynamic programming equation to a kolomogorov equation (Q4372872)
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scientific article; zbMATH DE number 1097688
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Reducing a nonlinear dynamic programming equation to a kolomogorov equation |
scientific article; zbMATH DE number 1097688 |
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Reducing a nonlinear dynamic programming equation to a kolomogorov equation (English)
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5 May 1998
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optimal stochastic control
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Riccati equation
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risk-sensitivity
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Brownian motion
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