Second order Hamilton-Jacobi-Bellman inequalities
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Publication:1852823
DOI10.1016/S1631-073X(02)02528-1zbMath1022.60062OpenAlexW2159349277MaRDI QIDQ1852823
Publication date: 2 June 2003
Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s1631-073x(02)02528-1
viscosity solutionpenalizationstochastic variational inequalitiesstochastic control systemsecond-order Hamilton-Jacobi-Bellman inequalities
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Related Items (4)
Some applications of linear programming formulations in stochastic control ⋮ Multi-dimensional path-dependent forward-backward stochastic variational inequalities ⋮ Second order Hamilton-Jacobi-Bellman equations with an unbounded operator ⋮ A stochastic approach to a new type of parabolic variational inequalities
Cites Work
- Viscosity solutions of Hamilton-Jacobi equations with unbounded nonlinear terms
- User’s guide to viscosity solutions of second order partial differential equations
- Approximation and simulation of stochastic variational inequalities - splitting up method
- A class of Hamilton-Jacobi equations with unbounded coefficients in Hilbert spaces
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