When Are HJB-Equations in Stochastic Control of Delay Systems Finite Dimensional?

DOI10.1081/SAP-120020430zbMath1052.60051OpenAlexW1974398766MaRDI QIDQ4804874

Bjørnar Larssen, Nils Henrik Risebro

Publication date: 28 April 2003

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sap-120020430

zbMATH Keywords

Hamilton-Jacobi-Bellman equationviscosity solutionstochastic control problemstochastic differential delay equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic functional-differential equations (34K50) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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Cites Work

• Approximation schemes for viscosity solutions of Hamilton-Jacobi equations
• Optimal control of linear stochastic systems with applications to time lag systems
• Some Solvable Stochastic Control Problems With Delay
• Dynamic programming in stochastic control of systems with delay
• On Feedback Control of Linear Stochastic Systems
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