Second order Hamilton-Jacobi-Bellman equations with an unbounded operator

DOI10.1016/J.NA.2012.03.028MaRDI QIDQ435044zbMATH OpenOpenAlexFDO

Authors Adrian Zalinescu

Publication date 16 July 2012

Published in Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.na.2012.03.028

zbMATH Keywords

Hamilton-Jacobi-Bellman equationsoptimal stochastic controldynamic programming principlemultivalued stochastic differential equations

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• scientific article; zbMATH DE number 816099 (Why is no real title available?)
• scientific article; zbMATH DE number 3398324 (Why is no real title available?)
• A class of Hamilton-Jacobi equations with unbounded coefficients in Hilbert spaces
• Approximation and simulation of stochastic variational inequalities - splitting up method
• Deterministic and Stochastic Differential Equations in Hilbert Spaces Involving Multivalued Maximal Monotone Operators
• Multivalued Skorohod problem
• Second order Hamilton-Jacobi-Bellman inequalities
• User’s guide to viscosity solutions of second order partial differential equations
• Viscosity solutions of Hamilton-Jacobi equations with unbounded nonlinear terms
• Weak solutions and optimal control for multivalued stochastic differential equations

Cited in

(16)

• Strong convergence rate for multivalued stochastic differential equations via stochastic theta method
• A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance
• Landesman-Lazer type results for second order Hamilton-Jacobi-Bellman equations
• A class of Hamilton-Jacobi equations with unbounded coefficients in Hilbert spaces
• Multivalued stochastic delay differential equations and related stochastic control problems
• Second order parabolic Hamilton-Jacobi-Bellman equations in Hilbert spaces and stochastic control: \(L^{2}_{\mu}\) approach
• A maximum principle for the stochastic variational inequalities
• Multi-valued stochastic differential equations driven by \(G\)-Brownian motion and related stochastic control problems
• The optimal control problem associated with multi-valued stochastic differential equations with jumps
• Hamilton-Jacobi-Bellman equations with fast gradient-dependence
• Second order Hamilton-Jacobi-Bellman inequalities
• Large deviations for invariant measures of multivalued stochastic differential equations
• General large deviations and functional iterated logarithm law for multivalued stochastic differential equations
• Viability for locally monotone evolution inclusions and lower semicontinuous solutions of Hamilton-Jacobi-Bellman equations in infinite dimensions
• On uniform large deviations principle for multi-valued SDEs via the viscosity solution approach
• Backward multivalued McKean-Vlasov SDEs and associated variational inequalities

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