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

Rainer Buckdahn, Tianyang Nie. Generalized Hamilton-Jacobi-Bellman Equations with Dirichlet Boundary Condition and Stochastic Exit Time Optimal Control Problem. SIAM J. Control and Optimization, 54(2):602-631, 2016. [doi]

Authors

Rainer Buckdahn

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Tianyang Nie

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