Stochastic recursive optimal control problem of reflected stochastic differential systems
DOI10.1080/00207179.2018.1550682zbMath1453.93242OpenAlexW2902789413MaRDI QIDQ5130093
Publication date: 3 November 2020
Published in: International Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207179.2018.1550682
viscosity solutiondynamic programming principlestochastic recursive optimal controlnonlinear Neumann boundary conditiongeneralised reflected backward stochastic differential equations
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Control/observation systems governed by ordinary differential equations (93C15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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