Document Zbl 0439.93057

Existence de solution et algorithme de résolution numérique, de problème de contrôle optimal de diffusion stochastique dégénérée ou non. (French) Zbl 0439.93057

SIAM J. Control Optimization 18, 199-226 (1980).

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93E20	Optimal stochastic control
49K45	Optimality conditions for problems involving randomness
60J60	Diffusion processes
93E25	Computational methods in stochastic control (MSC2010)

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