A Characterization of the Knothe--Rosenblatt Processes by a Convergence Result

DOI10.1137/100791129zbMath1252.93137OpenAlexW2058713318MaRDI QIDQ3143242

Toshio Mikami

Publication date: 29 November 2012

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/100791129

zbMATH Keywords

stochastic controlconvergence resultKnothe-Rosenblatt processKnothe-Rosenblatt rearrangement

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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