A remark on a certain stochastic control problem

DOI10.3792/PJAA.57.408zbMath0493.49017OpenAlexW2025289215MaRDI QIDQ1168584

Masatoshi Fujisaki

Publication date: 1981

Published in: Proceedings of the Japan Academy. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3792/pjaa.57.408

zbMATH Keywords

explicit form of an optimal controlpartial differential equations of parabolic type with singular drift coefficients

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Existence of optimal solutions to problems involving randomness (49J55)

Cites Work

• A comparison theorem for solutions of stochastic differential equations and its applications
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