scientific article; zbMATH DE number 2134035

MaRDI QIDQ3159174zbMATH OpenFDO

Authors Hitoshi Ishii, P. Loreti

Publication date 15 February 2005

zbMATH Keywords

degenerate elliptic equationsHamilton-Jacobi-Bellman equationsstate constraintstochastic optimal controlviscosity solutions

Mathematics Subject Classification ID

Second-order nonlinear hyperbolic equations (35L70) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Hamilton-Jacobi equations in mechanics (70H20) Optimal stochastic control (93E20)

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Cited in

(23)

• Regularity properties in a state-constrained expected utility maximization problem
• Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint
• Stochastic optimal control in infinite dimensions with state constraints
• A level-set approach for stochastic optimal control problems under controlled-loss constraints
• Non-compact-valued stochastic control under state constraints
• Stochastic Perron's method for optimal control problems with state constraints
• A class of stochastic optimal control problems in Hilbert spaces: BSDEs and optimal control laws, state constraints, conditioned processes.
• State-constrained stochastic optimal control problems via reachability approach
• On singular control problems with state constraints and regime-switching: a viscosity solution approach
• Optimal control under stochastic target constraints
• State Constrained Optimal Control Problems with States of Low Regularity
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• Existence of stochastic control under state constraints
• Optimal control of stochastic sequences with constraints
• A class of stochastic optimal control problems with state constraint
• Weak dynamic programming for generalized state constraints
• Necessary optimality conditions for local minimizers of stochastic optimal control problems with state constraints
• scientific article; zbMATH DE number 6727275 (Why is no real title available?)
• Singular control with state constraints on unbounded domain
• Deterministic and stochastic differential inclusions with multiple surfaces of discontinuity
• On the infinite time solution to state-constrained stochastic optimal control problems

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