A di erential game with onstrained dynami sand vis osity solutions of a related HJB equation
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Norwegian-Ukrainian Winter School 2018 on Stochastic Analysis, Probability Theory and Related Topics Abstracts of the presentations
We give a short introduction to the stochastic calculus for Itô-Lévy processes, and review briey the two main methods of optimal control of stochastic systems described by such processes, namely: (i) Dynamic programming and the Hamilton-Jacobi-Bellman (HJB) equation (ii) The stochastic maximum principle and its associated adjoint backward stochastic di¤erential equation (BSDE). The two methods...
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