Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application

DOI10.1080/03605308308820297zbMath0716.49022OpenAlexW2076351635MaRDI QIDQ3203611

Publication date: 1983

Published in: Communications in Partial Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03605308308820297

zbMATH Keywords

diffusion viscosity solution second-order elliptic operator Hamilton-Jacobi-Bellman Itô system

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Diffusion processes (60J60) PDEs with randomness, stochastic partial differential equations (35R60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimality conditions for problems involving randomness (49K45)

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