Time-symmetric optimal stochastic control problems in space-time domains

DOI10.1080/02331934.2021.2017430OpenAlexW3039942548MaRDI QIDQ5044099

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Publication date: 24 October 2022

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.02110

zbMATH Keywords

stochastic optimal controlfree boundary PDEsBernstein processes on random time intervalshidden diffusions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Free boundary problems for PDEs (35R35)

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