Multivalued stochastic delay differential equations and related stochastic control problems

DOI10.2989/16073606.2017.1315346zbMath1423.60090arXiv1305.7003OpenAlexW2964211671MaRDI QIDQ5236110

Bakarime Diomande, Lucian Maticiuc

Publication date: 15 October 2019

Published in: Quaestiones Mathematicae (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1305.7003

zbMATH Keywords

Hamilton-Jacobi-Bellman equationviscosity solutionsdynamic programming principlemultivalued SDE with delay

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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)

Related Items (1)

Stochastic maximum principle for optimal liquidation with control-dependent terminal time

Cites Work

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