Optimal Control of Stochastic Integrals and Hamilton–Jacobi–Bellman Equations. I

DOI10.1137/0320006MaRDI QIDQ3936621zbMATH OpenOpenAlexFDO

Authors P.-L. Lions, José-Luis Menaldi

Publication date 1982

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0320006

zbMATH Keywords

Wiener processregularityHamilton-Jacobi-Bellman equationsstochastic integralsoptimal cost

Mathematics Subject Classification ID

Dynamic programming (90C39) Nonlinear elliptic equations (35J60) Fixed-point theorems (47H10) Semigroups of nonlinear operators (47H20) Existence of optimal solutions to problems involving randomness (49J55) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

Cited in

(28)

• Stochastic optimal control problem with infinite horizon driven by \(G\)-Brownian motion
• Stochastic differential games with controlled regime-switching
• Sur les équations de Monge-Ampère. I
• The finite element approximation of Hamilton--Jacobi--Bellman equations: The noncoercive case
• Domain decomposition method for a system of quasivariational inequalities
• On the continuity of stochastic exit time control problems
• Overlapping domain decomposition method for a noncoercive system of quasi-variational inequalities related to the Hamilton-Jacobi-Bellman equation
• OptimalL^∞-Error Estimate of a Finite Element Method for Hamilton–Jacobi–Bellman Equations
• On the Hamilton-Jacobi-Bellman equations
• Optimal \(L^{\infty}\)-error estimate for a system of elliptic quasi-variational inequalities with noncoercive operators
• Optimal correction problem of a multidimensional stochastic system
• Error estimates of penalty schemes for quasi-variational inequalities arising from impulse control problems
• Minimizing ruin probability under the Sparre Anderson model
• \(L^{\infty}\) error estimate for a class of semilinear elliptic systems of quasi-variational inequalities
• On finite element approximation of system of parabolic quasi-variational inequalities related to stochastic control problems
• A new proof for the existence and uniqueness of the discrete evolutionary HJB equations
• Value functions and the Dirichlet problem for Isaacs equation in a smooth domain
• A note on stochastic optimal control of reflected diffusions with jumps
• \(L^\infty\)-error estimates of a finite element method for Hamilton-Jacobi-Bellman equations with nonlinear source terms with mixed boundary condition
• Wind time series modeling and stochastic optimal control for a grid-connected permanent magnet wind turbine generator
• Regularity for obstacle problems in infinite dimensional Hilbert spaces
• Two parameter optimal stopping and bi-Markov processes
• Sur l'Analyse Numérique des Equations de Hamilton-Jacobi-Bellman
• \(L^{\infty}\)-error estimate for a system of elliptic quasi-variational inequalities with noncoercive operators
• Résolution analytique des problèmes de Bellman-Dirichlet
• Nonlinear potentials for Hamilton-Jacobi-Bellman equations
• Generalized Hamilton-Jacobi-Bellman equations with Dirichlet boundary condition and stochastic exit time optimal control problem
• Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application

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