Deterministic Near-Optimal Controls. Part II: Dynamic Programming and Viscosity Solution Approach

DOI10.1287/MOOR.21.3.655MaRDI QIDQ4716929zbMATH OpenOpenAlexFDO

Authors

Publication date 20 January 1997

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/moor.21.3.655

zbMATH Keywords

adjoint functionsdynamic near-optimizationdynamic programmingHamiltoniannear-optimal controlssystems governed by deterministic ordinary differential equationsvalue functionsviscosity solution approach

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Hamilton-Jacobi theories (49L99) Control/observation systems governed by ordinary differential equations (93C15)

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• On near-optimal mean-field stochastic singular controls: necessary and sufficient conditions for near-optimality
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• Near-maximum principle for general recursive utility optimal control problem
• On near-optimal necessary and sufficient conditions for forward-backward stochastic systems with jumps, with applications to finance.
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• Necessary and sufficient conditions for near-optimality of stochastic delay systems
• On maximum principle of near-optimality for diffusions with jumps, with application to consumption-investment problem
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• A revisit to stochastic near-optimal controls: the critical case

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