Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations

DOI10.1137/17M1148232zbMath1401.49030arXiv1709.06143MaRDI QIDQ4691148

Jinniao Qiu

Publication date: 18 October 2018

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

Full work available at URL: https://arxiv.org/abs/1709.06143

zbMATH Keywords

viscosity solutionoptimal stochastic controlbackward stochastic partial differential equationstochastic Hamilton-Jacobi-Bellman equation

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimality conditions for problems involving randomness (49K45) Viscosity solutions to PDEs (35D40)

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