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Degenerate Stochastic Control Problems with ExponentialCosts and Weakly Coupled Dynamics: Viscosity Solutions and a Maximum Principle

Minyi Huang, Peter E. Caines, Roland P. Malhamé. Degenerate Stochastic Control Problems with ExponentialCosts and Weakly Coupled Dynamics: Viscosity Solutions and a Maximum Principle. SIAM J. Control and Optimization, 44(1):367-387, 2005. [doi]

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