Dynamic programming principle for classical and singular stochastic control with discretionary stopping
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Publication:6383368
DOI10.1007/S00245-023-09975-3zbMath1512.49029arXiv2111.09608MaRDI QIDQ6383368
Tiziano De Angelis, Alessandro Milazzo
Publication date: 18 November 2021
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) General theory of stochastic processes (60G07) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimality conditions for problems involving randomness (49K45)
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