Stochastic target problems, dynamic programming, and viscosity solutions

SIAM Journal on Control and Optimization

Volumn 41, Issue 2, 2003, Pages 404-424

  Soner, H Mete ^a   Touzi, Nizar ^b  

^a KOÇ UNIVERSITY   (Turkey)

^b CREST   (France)

Author keywords

Discontinuous viscosity solutions; Dynamic programming; Forward backward SDEs; Stochastic control

Indexed keywords

BOUNDARY CONDITIONS; BROWNIAN MOVEMENT; DIFFERENTIAL EQUATIONS; DYNAMIC PROGRAMMING; OPTIMAL CONTROL SYSTEMS; PROBLEM SOLVING; VISCOSITY;

STOCHASTIC TARGET PROBLEMS;

STOCHASTIC CONTROL SYSTEMS;

EID: 0037249034     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012900378863     Document Type: Article

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