Viscosity solutions of two classes of coupled Hamilton-Jacobi-Bellman equations

DOI10.1155/S1025583401000327MaRDI QIDQ5956443zbMATH OpenOpenAlexFDO

Authors Mingqing Xiao, Tamer Başar

Publication date 27 February 2003

Published in Journal of Inequalities and Applications (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/122378

zbMATH Keywords

coupled Hamilton-Jacobi-Bellman equationsHJB equationsoptimal controlpiecewise deterministic systemsviscosity solutions

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Differential games and control (49N70) Large deviations (60F10) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20)

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Cited in

(10)

• On the viscosity solutions of hybrid HJB equations arising in optimal control of loss networks
• On the iterative refinement of matrix upper bounds for the solution of continuous coupled algebraic Riccati equations
• A stochastic control model for optimal timing of climate policies
• Hamilton-Jacobi-Bellman equations on multi-domains
• Probabilistic interpretation of a coupled system of Hamilton-Jacobi-Bellman equations
• Some Properties of Constrained Viscosity Solutions of Hamilton–Jacobi–Bellman Equations
• The existence and uniqueness of viscosity solution to a kind of Hamilton-Jacobi-Bellman equation
• Viscosity Solutions of Hamilton--Jacobi--Bellman--Isaacs Equations for Time-Delay Systems
• Degenerate Stochastic Control Problems with ExponentialCosts and Weakly Coupled Dynamics: Viscosity Solutions and a Maximum Principle
• Some limit results for integrands and Hamiltonians with application to viscosity

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