Traditional derivation of Bellman equation for general controlled stochastic processes

DOI10.1007/BF00973072zbMath0499.93070MaRDI QIDQ1172037

N. N. Krylov, H. Pragarauskas

Publication date: 1982

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

Hamilton-Jacobi-Bellman equationsjump diffusion processes

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60)

Cites Work

• Bellman's equation for uniformly nondegenerate stochastic processes
• Traditional proof of Bellman's equation for controlled diffusion processes
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Traditional derivation of Bellman equation for general controlled stochastic processes