Solution to a class of stochastic optimal control problem with monotone controls

MaRDI QIDQ5318514zbMATH OpenFDO

Authors Guohe Deng, Xiangqun Yang

Publication date 22 July 2009

zbMATH Keywords

HJB equationmonotone control strategyviscosity solution

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Recommendations

• Viscosity solutions of stochastic Hamilton-Jacobi-Bellman equations
• Viscosity solution of the HJB equation for the stochastic relaxed control problem
• Properties of value function and existence of viscosity solution of HJB equation for stochastic boundary control problems
• Uniqueness of viscosity solutions of stochastic Hamilton-Jacobi equations
• Viscosity Solutions for the Monotone Control Problem

Cited in

(2)

• Solution to a class of stochastic LQ problems with bounded control
• scientific article; zbMATH DE number 5910789 (Why is no real title available?)

This page was built for publication: Solution to a class of stochastic optimal control problem with monotone controls

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5318514)