On viscosity solution of functional Hamilton-Jacobi type equations for hereditary systems

DOI10.1134/S0081543807060132zbMath1236.49067OpenAlexW2075819923MaRDI QIDQ764715

N. Yu. Lukoyanov

Publication date: 14 March 2012

Published in: Proceedings of the Steklov Institute of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0081543807060132

zbMATH Keywords

minimax approachhereditary systemsviscosity approachfunctional Hamilton-Jacobi type equations with co-invariant derivatives and a nonanticipatory Hamiltonian

Mathematics Subject Classification ID

Existence theories for optimal control problems involving partial differential equations (49J20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (19)

Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I. ⋮ Viscosity solutions to first order path-dependent Hamilton-Jacobi-Bellman equations in Hilbert space ⋮ Large deviations for non-Markovian diffusions and a path-dependent Eikonal equation ⋮ Convergence of discrete-time deterministic games to path-dependent Isaacs partial differential equations under quadratic growth conditions ⋮ Uniqueness of viscosity solutions of stochastic Hamilton-Jacobi equations ⋮ Minimax solutions of Hamilton–Jacobi equations with fractional coinvariant derivatives ⋮ Nonexponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and control ⋮ Equivalence of minimax and viscosity solutions of path-dependent Hamilton-Jacobi equations ⋮ Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs ⋮ Viscosity solutions to second order path-dependent Hamilton-Jacobi-Bellman equations and applications ⋮ Survey on path-dependent PDEs ⋮ Optimal Control of Infinite-Dimensional Differential Systems with Randomness and Path-Dependence and Stochastic Path-Dependent Hamilton–Jacobi Equations ⋮ On viscosity solutions of path dependent PDEs ⋮ Minimax and viscosity solutions in optimization problems for hereditary systems ⋮ Path-dependent Hamilton-Jacobi equations: the minimax solutions revised ⋮ Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs ⋮ A martingale approach for fractional Brownian motions and related path dependent PDEs ⋮ Controlled ordinary differential equations with random path-dependent coefficients and stochastic path-dependent Hamilton-Jacobi equations ⋮ Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the Hamilton-Jacobi-Bellmann equations in Banach spaces
• Hamilton-Jacobi equations in infinite dimensions. I: Uniqueness of viscosity solutions
• Application of viscosity solutions of infinite-dimensional Hamilton- Jacobi-Bellman equations to some problems in distributed optimal control
• Viscosity solutions of Hamilton-Jacobi equations in infinite dimensions. IV: Hamiltonians with unbounded linear terms
• History path dependent optimal control and portfolio valuation and management
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations

This page was built for publication: On viscosity solution of functional Hamilton-Jacobi type equations for hereditary systems