Sobolev weak solutions of the Hamilton-Jacobi-Bellman equations

DOI10.1137/120889174MaRDI QIDQ3192131zbMATHOpenAlexFDO

Authors Lifeng Wei, Zhen Wu, Huaizhong Zhao

Publication date 26 September 2014

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://dspace.lboro.ac.uk/2134/23113

zbMATH Keywords

backward stochastic differential equationsHamilton-Jacobi-Bellman equationsdynamic programming principleDoob-Meyer decomposition theoremSobolev weak solutions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Second-order parabolic equations (35K10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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(13)

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