Dynamic programming principle and Hamilton-Jacobi-Bellman equation for optimal control problems with uncertainty

DOI10.1051/COCV/2025092MaRDI QIDQ6854673zbMATH OpenFDO

Authors M.-Soledad Aronna, Michele Palladino, Oscar Sierra

Publication date 24 February 2026

Published in European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1051/COCV/2025092

zbMATH Keywords

dynamic programming principleHamilton-Jacobi-Bellman equationinvariance principlesoptimal controlRiemann-Stieltjes optimal control problemsuncertain dynamics

Mathematics Subject Classification ID

Hamilton-Jacobi equations (35F21) Optimality conditions for problems in abstract spaces (49K27) Optimality conditions for problems involving randomness (49K45) 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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Cited in

(1)

• Average optimal control of uncertain control-affine systems

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