Sobolev Weak Solutions of the Hamilton--Jacobi--Bellman Equations
From MaRDI portal
Publication:3192131
DOI10.1137/120889174zbMath1295.93078OpenAlexW2044214748MaRDI QIDQ3192131
Huaizhong Zhao, Zhen Wu, Lifeng Wei
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
backward stochastic differential equationsHamilton-Jacobi-Bellman equationsdynamic programming principleDoob-Meyer decomposition theoremSobolev weak solutions
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Second-order parabolic equations (35K10)
Related Items
Classical and weak solutions of the partial differential equations associated with a class of two-point boundary value problems, Multi-valued backward stochastic differential equations with regime switching, Quasi-linear PDEs and forward-backward stochastic differential equations: weak solutions, Probabilistic interpretation for Sobolev solutions of McKean-Vlasov partial differential equations, Backward stochastic differential equations with Markov chains and associated PDEs, Optimal Investment Under Information Driven Contagious Distress
