Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions (Q4785642)
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scientific article; zbMATH DE number 1848459
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions |
scientific article; zbMATH DE number 1848459 |
Statements
Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions (English)
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5 January 2003
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optimal stochastic control
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dynamic programming
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discontinuous viscosity solutions
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forward-backward SDEs
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variational inequality
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