Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions
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Publication:4785642
DOI10.1137/S0363012900378863zbMath1011.49019WikidataQ57635960 ScholiaQ57635960MaRDI QIDQ4785642
Publication date: 5 January 2003
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
dynamic programmingvariational inequalityoptimal stochastic controldiscontinuous viscosity solutionsforward-backward SDEs
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) Optimality conditions for problems involving randomness (49K45)
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