Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint
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Publication:2045151
DOI10.1007/s00245-020-09673-4zbMath1470.93164arXiv1809.01972OpenAlexW3014297627MaRDI QIDQ2045151
Publication date: 11 August 2021
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1809.01972
Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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