On a PDE arising in one-dimensional stochastic control problems

DOI10.1007/s10957-010-9712-3zbMath1205.93166OpenAlexW2086728050MaRDI QIDQ607894

Ricardo Josa-Fombellida, Juan Pablo Rincón-Zapatero

Publication date: 6 December 2010

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/15577

zbMATH Keywords

dynamic programmingstochastic controlquasilinear parabolic equationinvestment problems

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimality conditions for problems involving randomness (49K45)

Related Items (1)

Euler-Lagrange equations of stochastic differential games: application to a game of a productive asset

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