Sobolev Weak Solutions of the Hamilton--Jacobi--Bellman Equations

DOI10.1137/120889174zbMath1295.93078OpenAlexW2044214748MaRDI QIDQ3192131

Huaizhong Zhao, Zhen Wu, Lifeng Wei

Publication date: 26 September 2014

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

Full work available at URL: https://dspace.lboro.ac.uk/2134/23113

zbMATH Keywords

backward stochastic differential equationsHamilton-Jacobi-Bellman equationsdynamic programming principleDoob-Meyer decomposition theoremSobolev weak solutions

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) Second-order parabolic equations (35K10)

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