The connection between the maximum principle and dynamic programming in stochastic control
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Publication:3496274
DOI10.1080/17442509008833645zbMath0711.93099OpenAlexW1972204045MaRDI QIDQ3496274
Publication date: 1990
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442509008833645
Dynamic programming in optimal control and differential games (49L20) Nonsmooth analysis (49J52) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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