Representation Formulas for Limit Values of Long Run Stochastic Optimal Controls

Rainer Buckdahn, Juan Li, Marc Quincampoix, Jérôme Renault. Representation Formulas for Limit Values of Long Run Stochastic Optimal Controls. SIAM J. Control and Optimization, 58(4):1846-1873, 2020. [doi]

Authors

Rainer Buckdahn

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Juan Li

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Marc Quincampoix

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Jérôme Renault

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