Relationship Between MP and DPP for the Stochastic Optimal...

Applied Mathematics & Optimization 2011 / 04 Vol. 63; Iss. 2

Relationship Between MP and DPP for the Stochastic Optimal Control Problem of Jump Diffusions

Jing-Tao Shi, Zhen Wu
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Volume:
63
Language:
english
Pages:
39
DOI:
10.1007/s00245-010-9115-8
Date:
April, 2011
File:
PDF, 771 KB
english, 2011
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