The dynamic programming equation for a stochastic volatility optimal control problem

DOI10.1016/j.automatica.2019.05.046zbMath1429.93414OpenAlexW2948499310MaRDI QIDQ2280817

Viorel Barbu

Publication date: 19 December 2019

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2019.05.046

zbMATH Keywords

accretive operatorBrownian motionsoptimal feedback controller

Mathematics Subject Classification ID

Feedback control (93B52) Dynamic programming (90C39) Optimal stochastic control (93E20) General theory of infinite-dimensional dissipative dynamical systems, nonlinear semigroups, evolution equations (37L05)

Cites Work

• Generalized solutions to nonlinear Fokker-Planck equations
• Functional analysis, Sobolev spaces and partial differential equations
• Mild solutions to the dynamic programming equation for stochastic optimal control problems
• Stochastic calculus for finance. II: Continuous-time models.
• User’s guide to viscosity solutions of second order partial differential equations
• Nonlinear Differential Equations of Monotone Types in Banach Spaces
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