Stochastic Hamiltonian-Jacobi-Bellman equation and stochastic Hamiltonian systems

DOI10.1007/BF02269422zbMath0967.60067MaRDI QIDQ1972722

Vassili N. Kolokol'tsov

Publication date: 13 April 2000

Published in: Journal of Dynamical and Control Systems (Search for Journal in Brave)

zbMATH Keywords

stochastic control theorystochastic Schrödinger equationstochastic Hamiltonian systemsstochastic Hamilton-Jacobi-Bellman equationstochastic scattering(nonlinear) stochastic partial differential equations of first orderstochastic maximum

Mathematics Subject Classification ID

Random fields (60G60) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Nonlinear first-order PDEs (35F20) (2)-body potential quantum scattering theory (81U05)

Related Items (3)

Estimates for multiple stochastic integrals and stochastic Hamilton-Jacobi equations ⋮ The variational approach to Hamilton-Jacobi equations driven by a Gaussian noise ⋮ The rate of escape for some Gaussian processes and the scattering theory for their small perturbations

Cites Work

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• Scattering theory for the Belavkin equation describing a quantum particle with continuously observed coordinate
• Riemann-Stieltjes approximations of stochastic integrals
• The log log law for multidimensional stochastic integrals and diffusion processes
• Stochastic Problems in Physics and Astronomy

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