Characterization of optimality for controlled diffusion processes

DOI10.1016/S0167-6911(97)00024-8zbMath0901.93073MaRDI QIDQ1391336

D. Massart

Publication date: 22 July 1998

Published in: Systems \& Control Letters (Search for Journal in Brave)

zbMATH Keywords

viscosity solutionstochastic optimal controlHJB equationsub-differentialsuper-differential

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Cites Work

• Unnamed Item
• Asymptotic expansions for Markov processes with Lévy generators
• Maximum principle, dynamic programming and their connection in deterministic control
• Verification theorems within the framework of viscosity solutions
• Stochastic Verification Theorems within the Framework of Viscosity Solutions
• Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
• Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
• The connection between the maximum principle and dynamic programming in stochastic control
• Some Characterizations of Optimal Trajectories in Control Theory
• Generalized Solutions of the Hamilton–Jacobi Equation of Stochastic Control