Sobolev weak solutions of the Hamilton-Jacobi-Bellman equations

DOI10.1137/120889174zbMATH Open1295.93078OpenAlexW2044214748MaRDI QIDQ3192131FDOQ3192131

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

Recommendations

• scientific article; zbMATH DE number 3904473
• Viscosity solutions of stochastic Hamilton-Jacobi-Bellman equations
• The existence and uniqueness of viscosity solution to a kind of Hamilton-Jacobi-Bellman equation
• Regularity of solutions of a second order hamilton-jacobi equation and application to a control problem
• Optimal controls of stochastic differential equations with jumps and random coefficients: stochastic Hamilton-Jacobi-Bellman equations with jumps

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)

Cited In (11)

• Probabilistic interpretation for Sobolev solutions of McKean-Vlasov partial differential equations
• Stochastic differential games with controlled regime-switching
• Classical and weak solutions of the partial differential equations associated with a class of two-point boundary value problems
• Title not available (Why is that?)
• Boundary-value problems for stationary Hamilton-Jacobi and Bellman equations
• Multi-valued backward stochastic differential equations with regime switching
• Backward stochastic differential equations with Markov chains and associated PDEs
• Optimal Investment Under Information Driven Contagious Distress
• Extension of sufficient optimality conditions in the methods of Weierstrass and of Hamilton-Jacobi-Bellman
• Title not available (Why is that?)
• Quasi-linear PDEs and forward-backward stochastic differential equations: weak solutions

This page was built for publication: Sobolev weak solutions of the Hamilton-Jacobi-Bellman equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3192131)