Stochastic HJB equations and regular singular points

DOI10.1007/978-3-030-25498-8_15zbMath1427.93278arXiv1806.04120OpenAlexW2806043815MaRDI QIDQ2337433

Arthur J. Krener

Publication date: 20 November 2019

Full work available at URL: https://arxiv.org/abs/1806.04120

zbMATH Keywords

stochastic optimal controlinfinite horizon problemsstochastic algebraic Riccati equations

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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