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On a Class of Stochastic Optimal Control Problems Related to BSDEs with Quadratic Growth

โœ Scribed by Fuhrman, Marco; Hu, Ying; Tessitore, Gianmario


Book ID
118744041
Publisher
Society for Industrial and Applied Mathematics
Year
2006
Tongue
English
Weight
206 KB
Volume
45
Category
Article
ISSN
0363-0129

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Solution to a class of stochastic LQ pro
โœ D.V. Iourtchenko ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 824 KB

A new approach for finding an exact analytical solution to the modified Hamilton-Jacobi-Bellman equation is proposed. Together with the recently developed hybrid solution method, the proposed strategy allows to find a solution to a whole class of stochastic optimal control problems with bounded in m