A new class of singular stochastic control problems;Une classe nouvelle de problémes singuliers de contrôle stochastique

Comptes Rendus de l'Academie des Sciences - Series I: Mathematics

Volumn 331, Issue 11, 2000, Pages 879-885

  Lasry, Jean Michel ^a   Lions, Pierre Louis ^b  

^a CPR   (France)

^b UNIVERSITÉ PARIS DAUPHINE   (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0034370088     PISSN: 07644442     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0764-4442(00)01740-7     Document Type: Article

References (8)

1. [1] Alvarez O., Bardi M., Viscosity solutions methods for singular perturbations in deterministic and stochastic control, Preprint, (soumis à SIAM J. Control Optim.).
2. [2] Barles G., Solutions de viscosité des équations de Hamilton-Jacobi, Mathématiques et Applications 17, Springer, Paris, 1994.
3. [3] Crandall M.G., Ishii H., Lions P.-L., User's guide to viscosity solutions of second-order partial differential equations, Bull. Amer. Math. Soc. 27 (1992) 1-67.
4. [4] Fleming W.H., Soner M., Controlled Markov Processes and Viscosity Solutions, Springer-Verlag, Berlin, 1993.
5. [5] Jensen R., Lions P.-L., Some asymptotic problems in fully nonlinear elliptic equations and stochastic control, Ann. Sci. Norm. Sup. Pisa II (1984) 129-146.
6. [6] Lasry J.-M., Lions P.-L., (en préparation).
7. [7] Lions P.-L., Optimal control of diffusion processes and Hamilton-Jacobi-Bellman equations, I, Commun. Partial Differ. Eq. 8 (1983) 1101-1174.
8. [8] Lions P.-L., Optimal control of diffusion processes and Hamilton-Jacobi-Bellman equations, II, Commun. Partial Differ. Eq. 8 (1983) 1229-1279.