Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton--Jacobi--Bellman Equation

Zhen Wu, Zhiyong Yu. Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton--Jacobi--Bellman Equation. SIAM J. Control and Optimization, 47(5):2616-2641, 2008. [doi]

Abstract

Abstract is missing.