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Stochastic Hamilton Jacobi Bellman Equations and Regular Singular Points

Mathematical Physics & Probability

Speaker: Arthur Krener, Naval Academy, Monterey
Location: 2112 MSB
Start time: Wed, Mar 6 2019, 4:10PM

Abstract: Some stochastic HJB equations have a regular singular point at the origin and so the Taylor series of the optimal cost and optimal feedback can be computed degree by degree.