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

DOI10.1137/0320007zbMATH Open0478.93070OpenAlexW4253755470MaRDI QIDQ3936622FDOQ3936622

José-Luis Menaldi, P.-L. Lions

Publication date: 1982

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

Full work available at URL: https://doi.org/10.1137/0320007

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 (10)

• The dirichlet problem for nonlinear second-order elliptic equations. II. Complex monge-ampère, and uniformaly elliptic, equations
• On the Hamilton-Jacobi-Bellman equations
• Existence results for bellman equations and maximum principles in unbounded domains
• Stochastic optimal control problem with infinite horizon driven by G-Brownian motion
• A Counterexample toC^2,1Regularity for Parabolic Fully Nonlinear Equations
• Wind time series modeling and stochastic optimal control for a grid-connected permanent magnet wind turbine generator
• Exit times for semimartingales under nonlinear expectation
• 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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