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

DOI10.1016/J.NA.2012.03.028zbMATH Open1243.49035OpenAlexW2028700458MaRDI QIDQ435044FDOQ435044

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

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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)

Cites Work

• User’s guide to viscosity solutions of second order partial differential equations
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• Viscosity solutions of Hamilton-Jacobi equations with unbounded nonlinear terms
• Multivalued Skorohod problem
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• Deterministic and Stochastic Differential Equations in Hilbert Spaces Involving Multivalued Maximal Monotone Operators
• Approximation and simulation of stochastic variational inequalities - splitting up method
• A class of Hamilton-Jacobi equations with unbounded coefficients in Hilbert spaces
• Second order Hamilton-Jacobi-Bellman inequalities
• 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
• A class of Hamilton-Jacobi equations with unbounded coefficients in Hilbert spaces
• Landesman-Lazer type results for second order Hamilton-Jacobi-Bellman equations
• 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
• Backward multivalued McKean-Vlasov SDEs and associated variational inequalities
• On uniform large deviations principle for multi-valued SDEs via the viscosity solution approach

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