Path‐dependent Hamilton–Jacobi–Bellman equations related to controlled stochastic functional differential systems

DOI10.1002/oca.2104zbMath1315.93085arXiv1207.1194OpenAlexW1944838178MaRDI QIDQ5254097

Shaolin Ji, Shuzhen Yang, Lin Wang

Publication date: 8 June 2015

Published in: Optimal Control Applications and Methods (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.1194

zbMATH Keywords

viscosity solutionstochastic functional differential equationsdynamic programming principlepath-dependent HJB equations

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Control/observation systems governed by functional-differential equations (93C23) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items

Stochastic global stability and bifurcation of a hydro-turbine generator, Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost

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