Second order Hamilton-Jacobi-Bellman inequalities (Q1852823)
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scientific article; zbMATH DE number 1850786
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Second order Hamilton-Jacobi-Bellman inequalities |
scientific article; zbMATH DE number 1850786 |
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Second order Hamilton-Jacobi-Bellman inequalities (English)
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2 June 2003
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The author studies the second-order Hamilton-Jacobi-Bellman inequalities which come from an optimal control problem where the state equation is a stochastic variational inequality. Also he proves that the function which minimizes the cost is the viscosity solution. Finally, by using the penalization method he proves the uniqueness of this solution.
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second-order Hamilton-Jacobi-Bellman inequalities
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stochastic variational inequalities
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stochastic control system
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viscosity solution
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penalization
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