On Viscosity Solution of HJB Equations with State Constraints and Reflection Control

DOI10.1137/15M103830XzbMath1354.93172arXiv1509.01118OpenAlexW2962846640MaRDI QIDQ2960499

Hitoshi Ishii, Lin Wang, Subhamay Saha, Anup Biswas

Publication date: 9 February 2017

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

Full work available at URL: https://arxiv.org/abs/1509.01118

zbMATH Keywords

stochastic networkviscosity solutionsheavy-trafficnonsmooth domainnonlinear Neumann boundaryqueues with helpSkorokhod map with reflection control

Mathematics Subject Classification ID

Boundary value problems for second-order elliptic equations (35J25) 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)

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