caa a22 4500 463169433 CHVBK 20180406164809.0 cr unu---uuuuu 170326e20071001xx s 000 0 eng 10.1007/s10957-007-9262-5 doi (NATIONALLICENCE)springer-10.1007/s10957-007-9262-5 New Approach to Stochastic Optimal Control [Elektronische Daten] [R. Josa-Fombellida, J. Rincón-Zapatero] This paper provides new insights into the solution of optimal stochastic control problems by means of a system of partial differential equations, which characterize directly the optimal control. This new system is obtained by the application of the stochastic maximum principle at every initial condition, assuming that the optimal controls are smooth enough. The type of problems considered are those where the diffusion coefficient is independent of the control variables, which are supposed to be interior to the control region. Springer Science+Business Media, LLC, 2007 Optimal stochastic control nationallicence Itô's formula nationallicence Hamilton-Jacobi-Bellman equation nationallicence Semilinear parabolic equation nationallicence Josa-Fombellida R. Departamento de Estadística e Investigación Operativa, Universidad de Valladolid, Valladolid, Spain aut Rincón-Zapatero J. Departamento de Economía, Universidad Carlos III de Madrid, Getafe, Madrid, Spain aut Journal of Optimization Theory and Applications Springer US; http://www.springer-ny.com 135/1(2007-10-01), 163-177 0022-3239 135:1<163 2007 135 10957 https://doi.org/10.1007/s10957-007-9262-5 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s10957-007-9262-5 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Josa-Fombellida R. Departamento de Estadística e Investigación Operativa, Universidad de Valladolid, Valladolid, Spain aut NATIONALLICENCE 700 1- Rincón-Zapatero J. Departamento de Economía, Universidad Carlos III de Madrid, Getafe, Madrid, Spain aut NATIONALLICENCE 773 0- Journal of Optimization Theory and Applications Springer US; http://www.springer-ny.com 135/1(2007-10-01), 163-177 0022-3239 135:1<163 2007 135 10957 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer