A class of infinite-horizon stochastic delay optimal control problems and a viscosity solution to the associated HJB equation
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Publication:4554108
DOI10.1051/cocv/2017042zbMath1401.93234OpenAlexW2623995997MaRDI QIDQ4554108
Publication date: 7 November 2018
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1051/cocv/2017042
viscosity solutionexistence and uniquenessinfinite-horizon optimal controlstochastic differential equations with delayssecond order Hamilton-Jacobi-Bellman equation
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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