A note on linearization methods and dynamic programming principles for stochastic discontinuous control problems
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Publication:428740
DOI10.1214/ECP.v17-1844zbMath1245.93144MaRDI QIDQ428740
Publication date: 22 June 2012
Published in: Electronic Communications in Probability (Search for Journal in Brave)
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)
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