On the uniqueness of a solution to the Bellman equation in Sobolev's classes

zbMATH Open0738.60059MaRDI QIDQ3363447FDOQ3363447

Authors: Henrikas Pragarauskas, R. Mikulevicius 

Publication date: 1991

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zbMATH Keywords

Sobolev spacesunbounded coefficientsBellman equationsItô processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Integro-ordinary differential equations (45J05)

Cited In (9)

• Existence and Uniqueness of Solutions to the Bellman Equation in the Unbounded Case
• Title not available (Why is that?)
• Universal surfaces and smooth solutions of Bellman's equations
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• Title not available (Why is that?)
• An analytic approach to purely nonlocal Bellman equations arising in models of stochastic control
• Uniqueness of the solution of Bellman's equation in the case of general controlled processes
• Corrigendum to ``Existence and Uniqueness of Solutions to the Bellman Equation in the Unbounded Case Econometrica, Vol. 71, No. 5 (September, 2003), 1519-1555
• Uniqueness for integro-PDE in Hilbert spaces

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