scientific article; zbMATH DE number 4019854

MaRDI QIDQ3763154zbMATH OpenFDO

Authors Giuliano Galeai

Publication date 1986

zbMATH Keywords

variational inequalitiescontrolled diffusion processesBellmann equation

Mathematics Subject Classification ID

Diffusion processes (60J60) Stability in context of PDEs (35B35) Variational inequalities (49J40) Methods involving semicontinuity and convergence; relaxation (49J45) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

Recommendations

• Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
• Variational stability of infinite-dimensional optimal control problems
• Linear oblique derivative problems for the uniformly elliptic Hamilton- Jacobi-Bellman equation
• A stability theorem for stochastic differential equations and application to stochastic control problems
• On the Bellman equation for some unbounded control problems

Cited in

(2)

• Stability properties of the value function in an infinite horizon optimal control problem
• Lipschitz continuity and semiconcavity properties of the value function of a stochastic control problem

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