Dynamic programming for stochastic target problems and geometric flows
نویسندگان
چکیده
منابع مشابه
Dynamic Programming for Stochastic Target Problems and Geometric Flows
Given a controlled stochastic process, the reachability set is the collection of all initial data from which the state process can be driven into a target set at a specified time. Differential properties of these sets are studied by the dynamic programming principle which is proved by the Jankov-von Neumann measurable selection theorem. This principle implies that the reachability sets satisfy ...
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ژورنال
عنوان ژورنال: Journal of the European Mathematical Society
سال: 2002
ISSN: 1435-9855,1435-9863
DOI: 10.1007/s100970100039