A Generalized dynamic programming principle and hamilton-jacobi-bellman equation

DOI10.1080/17442509208833749zbMath0756.49015OpenAlexW2007734734WikidataQ126243136 ScholiaQ126243136MaRDI QIDQ3991738

Shige Peng

Publication date: 28 June 1992

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509208833749

zbMATH Keywords

viscosity solutionnonlinear second order partial differential equationoptimally controlled diffusion problem

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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