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most citedControlled Continuous Time Random Walks and fractional Hamilton Jacobi Bellman equations

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math.OC2012★ 1 cited

Controlled Continuous Time Random Walks and fractional Hamilton Jacobi Bellman equations

V. Kolokoltsov, M. Veretennikova

In this paper we study controlled continuous time random walks (CTRWs) and heuristically derive pay-off function dynamic programming (DP) equations which turn in the limit of stand…