A remark on one-dimensional controlled diffusion processes

DOI10.1080/17442508608833401zbMath0598.93063OpenAlexW1988894897MaRDI QIDQ3734285

Pierre-Louis Lions, Jean-Michel Coron

Publication date: 1986

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508608833401

zbMATH Keywords

Hamilton-Jacobi-Bellman equationsdiffusion processesone-dimensional control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Nonlinear elliptic equations (35J60) Optimal stochastic control (93E20) Diffusion processes (60J60)

Related Items (1)

Weak solution for a class of fully nonlinear stochastic Hamilton-Jacobi-Bellman equations

Cites Work

• On the existence, uniqueness, convergence and explosions of solutions of systems of stochastic integral equations
• On the existence and unicity of solutions of stochastic integral equations
• On Itô’s Stochastic Integral Equations
• An Inequality in the Theory of Stochastic Integrals

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