Properties of value function and existence of viscosity solution of HJB equation for stochastic boundary control problems

DOI10.1016/J.JFRANKLIN.2011.06.003MaRDI QIDQ658614zbMATH OpenOpenAlexFDO

Authors Huaiqiang Yu, Bin Liu

Publication date 13 January 2012

Published in Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jfranklin.2011.06.003

zbMATH Keywords

Hamilton-Jacobi-Bellman (HJB) equationcontrolled stochastic parabolic equationstochastic boundary control problems

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Initial-boundary value problems for second-order parabolic equations (35K20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)

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Cited in

(8)

• Viscosity solutions to HJB equations for boundary-noise and boundary-control problems
• A linear quadratic control problem for the stochastic heat equation driven by Q-Wiener processes
• HJB equation for optimal control system with random impulses
• Free boundary value problems and HJB equations for the stochastic optimal control of elasto-plastic oscillators
• Solution to a class of stochastic optimal control problem with monotone controls
• The stochastic control model for use conversion of land
• Optimal control of backward stochastic heat equation with Neumann boundary control and noise
• Generalized Hamilton-Jacobi-Bellman equations with Dirichlet boundary condition and stochastic exit time optimal control problem

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