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Reducing a nonlinear dynamic programming equation to a kolomogorov equation - MaRDI portal

Reducing a nonlinear dynamic programming equation to a kolomogorov equation (Q4372872)

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scientific article; zbMATH DE number 1097688
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Reducing a nonlinear dynamic programming equation to a kolomogorov equation
scientific article; zbMATH DE number 1097688

    Statements

    title
    Reducing a nonlinear dynamic programming equation to a kolomogorov equation (English)
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    published in
    Optimization
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    publication date
    5 May 1998
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    zbMATH DE Number
    1097688
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    zbMATH Keywords
    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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    author
    Mario Lefebvre
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    OpenAlex ID
    W2093702509
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