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On a Class of Stochastic Optimal Control Problems Related to BSDEs with Quadratic Growth.
Marco Fuhrman
Ying Hu
Gianmario Tessitore
Published in:
SIAM J. Control. Optim. (2006)
Keyphrases
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optimal control problems
optimal control
production planning
solving nonlinear
continuous functions
stochastic differential equations
control theory
real valued
differential equations
multiscale
objective function
pairwise
dynamic programming
infinite horizon
stochastic process