Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions (Q535333)
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scientific article; zbMATH DE number 5886899
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions |
scientific article; zbMATH DE number 5886899 |
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Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions (English)
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11 May 2011
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jump diffusions
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stochastic optimal control
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maximum principle
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dynamic programming principle
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verification theorem
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viscosity solution
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0.9213858
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0.91867095
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0.9124698
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0.89132524
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0.8866421
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0.88514614
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0.88503516
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0.8834461
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