Generalized Hamilton--Jacobi--Bellman Equations with Dirichlet Boundary Condition and Stochastic Exit Time Optimal Control Problem-Reference-Cited by-同舟云学术

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Generalized Hamilton--Jacobi--Bellman Equations with Dirichlet Boundary Condition and Stochastic Exit Time Optimal Control Problem

Published:2016-01 Issue:2 Volume:54 Page:602-631
ISSN:0363-0129
Container-title:SIAM Journal on Control and Optimization
language:en
Short-container-title:SIAM J. Control Optim.

Author:

Buckdahn Rainer,Nie Tianyang

Funder

The Fundamental Research Funds of Shandong University

The Natural Science Foundation of P.R.China

Australia Research Council's Discovery Projects funding scheme

Natural Science Foundation of Shandong Province

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Control and Optimization

Link

http://epubs.siam.org/doi/pdf/10.1137/140998160

Reference23 articles.

1. Backward stochastic differential equations and integral-partial differential equations

2. The Dirichlet Problem for Semilinear Second-Order Degenerate Elliptic Equations and Applications to Stochastic Exit Time Control Problems

3. On the Dirichlet problem for second-order elliptic integro-differential equations

4. On the Continuity of Stochastic Exit Time Control Problems

5. Stability of BSDEs with Random Terminal Time and Homogenization of Semilinear Elliptic PDEs

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