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Dynamic programming and Hamilton-Jacobi-Bellman equations on time scales - MaRDI portal

Dynamic programming and Hamilton-Jacobi-Bellman equations on time scales (Q2225189)

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Dynamic programming and Hamilton-Jacobi-Bellman equations on time scales
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    Dynamic programming and Hamilton-Jacobi-Bellman equations on time scales (English)
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    5 February 2021
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    Summary: Bellman optimality principle for the stochastic dynamic system on time scales is derived, which includes the continuous time and discrete time as special cases. At the same time, the Hamilton-Jacobi-Bellman (HJB) equation on time scales is obtained. Finally, an example is employed to illustrate our main results.
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    Bellman optimality principle
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