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

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
On the continuity of stochastic exit time control problems
OptimalL^∞-Error Estimate of a Finite Element Method for Hamilton–Jacobi–Bellman Equations
The finite element approximation of Hamilton--Jacobi--Bellman equations: The noncoercive case
Domain decomposition method for a system of quasivariational inequalities
On the Hamilton-Jacobi-Bellman equations
Optimal \(L^{\infty}\)-error estimate for a system of elliptic quasi-variational inequalities with noncoercive operators
Overlapping domain decomposition method for a noncoercive system of quasi-variational inequalities related to the Hamilton-Jacobi-Bellman equation
Error estimates of penalty schemes for quasi-variational inequalities arising from impulse control problems
Optimal correction problem of a multidimensional stochastic system
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
Wind time series modeling and stochastic optimal control for a grid-connected permanent magnet wind turbine generator
\(L^\infty\)-error estimates of a finite element method for Hamilton-Jacobi-Bellman equations with nonlinear source terms with mixed boundary condition
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

This page was built for publication: Optimal Control of Stochastic Integrals and Hamilton–Jacobi–Bellman Equations. I

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3936621)