Optimal control of martingales in a radially symmetric environment

DOI10.1016/j.spa.2023.01.016OpenAlexW3189008371MaRDI QIDQ2698480

Benjamin A. Robinson, Alexander Matthew Gordon Cox

Publication date: 24 April 2023

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.04583

zbMATH Keywords

Hamilton-Jacobi-Bellman equationmultidimensional martingales

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal transportation (49Q22)

Related Items (1)

SDEs with no strong solution arising from a problem of stochastic control

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