Control of diffusion processes in \(\mathbb R^N\) (Q1142984)
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scientific article; zbMATH DE number 3688158
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Control of diffusion processes in \(\mathbb R^N\) |
scientific article; zbMATH DE number 3688158 |
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Control of diffusion processes in \(\mathbb R^N\) (English)
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1981
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In this problem the general problem of optimal control of stochastic differential equations in \(\mathbb R^N\) is considered. Under general assumptions it is proved that the optimal cost function satisfies a nonlinear partial differential equation called the Hamilton-Jacobi-Bellman equation. In particular no assumption on the nondegeneracy of the diffusion processes is made.
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