The Dynamic Programming Equation for Second Order Stochastic Target Problems
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Publication:3581024
DOI10.1137/07071130XzbMath1229.91324WikidataQ57635928 ScholiaQ57635928MaRDI QIDQ3581024
Publication date: 16 August 2010
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Nonlinear parabolic equations (35K55) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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