Certain convexity questions in stochastic optimization

DOI10.1016/S0167-6911(81)80045-XzbMath0474.93073MaRDI QIDQ1159650

Ioannis Karatzas

Publication date: 1981

Published in: Systems \& Control Letters (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationsstrong solutionsconvex value function

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Convexity of real functions of several variables, generalizations (26B25)

Cites Work

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• On the Strong Solutions of Stochastic Differential Equations
• A Degree Method for Free Boundaries in Stochastic Control
• A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT

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