The stochastic maximum principle in optimal control of singular diffusions with non linear coefficients
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Publication:5467647
DOI10.1163/1569397053300919zbMath1101.93080OpenAlexW4240282726MaRDI QIDQ5467647
Publication date: 24 May 2006
Full work available at URL: https://doi.org/10.1163/1569397053300919
Optimal stochastic control (93E20) Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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