Optimal Control of Stochastic Integrals and Hamilton–Jacobi–Bellman Equations. II
Work
Year: 1982
Type: article
Abstract: We consider the solution of a stochastic integral control problem and we study its regularity. In particular, we characterize the optimal cost as the maximum solution of \[\begin{gathered} \forall v \... more
Authors Pierre‐Louis Lions, José‐Luis Menaldi
Cites: 11
Cited by: 16
Related to: 10
FWCI: 4.042
Citation percentile (by year/subfield): 86.19
Subfield: Finance
Domain: Social Sciences
Open Access status: green