Generalized Hamilton--Jacobi--Bellman Equations with Dirichlet Boundary Condition and Stochastic Exit Time Optimal Control Problem

DOI10.1137/140998160zbMath1345.49035arXiv1412.0730OpenAlexW3105898488MaRDI QIDQ2796108

Rainer Buckdahn, Tianyang Nie

Publication date: 23 March 2016

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1412.0730

zbMATH Keywords

stochastic optimal controlbackward stochastic differential equationsHamilton-Jacobi-Bellman equationsexit timeviscosity solutionsdynamic programming principle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimality conditions for problems involving randomness (49K45)

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