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Dynamic programming principle for one kind of stochastic recursive optimal control problem and Hamilton-Jacobi-Bellman equation. (English) Zbl 1171.49022

MSC:
49L20 Dynamic programming in optimal control and differential games
93E20 Optimal stochastic control
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
35K15 Initial value problems for second-order parabolic equations
49L25 Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games
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