The stochastic maximum principle in optimal control of degenerate diffusions with non-smooth coefficients
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Publication:3077685
DOI10.1515/ROSE.2009.002zbMath1224.93131OpenAlexW2089656874MaRDI QIDQ3077685
Farid Chighoub, Brahim Mezerdi, Boualem Djehiche
Publication date: 22 February 2011
Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/rose.2009.002
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Optimal stochastic control (93E20) Optimality conditions for problems involving ordinary differential equations (49K15)
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Cites Work
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