Robust Feedback Switching Control: Dynamic Programming and Viscosity Solutions

DOI10.1137/15M1046903zbMath1347.49042arXiv1409.6233OpenAlexW2949413837MaRDI QIDQ2822795

Erhan Bayraktar, Huyên Pham, Andrea Cosso

Publication date: 5 October 2016

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.6233

zbMATH Keywords

stochastic gamesmodel uncertaintyviscosity solutionsfeedback strategiesoptimal switchingstochastic Perron methoddynamic programming principleHamilton-Jacobi-Bellman variational inequalities

Mathematics Subject Classification ID

Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) 2-person games (91A05) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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