A class of stochastic optimal control problems with state constraint

Indiana University Mathematics Journal

Volumn 51, Issue 5, 2002, Pages 1167-1196

  Ishii, Hltoshi ^a   Loreti, Paola ^b  

^a WASEDA UNIVERSITY   (Japan)

^b SAPIENZA UNIVERSITY OF ROME   (Italy)

Author keywords

Degenerate elliptic equations; Hamilton Jacobi Bellman equations; State constraint; Stochastic optimal control; Viscosity solutions

Indexed keywords

EID: 0036997954     PISSN: 00222518     EISSN: None     Source Type: Journal    
DOI: 10.1512/iumj.2002.51.2079     Document Type: Article

References (20)

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