Mild solutions to the dynamic programming equation for stochastic optimal control problems

DOI10.1016/J.AUTOMATICA.2018.02.008MaRDI QIDQ1797067zbMATH OpenOpenAlexWikidataFDO

Authors Viorel Barbu, Chiara Benazzoli, Luca Di Persio

Publication date 17 October 2018

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1706.06824

zbMATH Keywords

Cauchy problemoptimal control\(m\)-accretive operatorstochastic process

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimal stochastic control (93E20)

Abstract: We show via the nonlinear semigroup theory in $L^1(mathbbR)$ that the $1$-D dynamic programming equation associated with a stochastic optimal control problem with multiplicative noise has a unique mild solution $varphiinC([0,T];W^{1,infty}(mathbbR))$ with $varph{i}_{xx}inC([0,T];L^1(mathbbR))$. The $n$-dimensional case is also investigated.

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