Le problème de Cauchy pour les équations de Hamilton-Jacobi-Bellman

DOI10.5802/afst.559zbMath0467.49017OpenAlexW2331776598MaRDI QIDQ3920222

Pierre-Louis Lions

Publication date: 1981

Published in: Annales de la faculté des sciences de Toulouse Mathématiques (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AFST_1981_5_3_1_59_0

zbMATH Keywords

Wiener processCauchy problemstochastic controlHamilton-Jacobi-Bellman equationsWiener spacesecond order elliptic operatorsstochastic minimization problem

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Hamilton-Jacobi equations in mechanics (70H20) Optimality conditions for problems involving randomness (49K45)

Related Items (4)

A constructive approach to the Bellman semigroup ⋮ Unnamed Item ⋮ Unnamed Item ⋮ A system of parabolic variational inequalities associated with a stochastic switching game

Cites Work

• Sequences of convex functions and estimates of the maximum of the solution of a parabolic equation
• Optimal Stochastic Switching and the Dirichlet Problem for the Bellman Equation
• Sum probleils related to the relliian-dzrzchlet equation for two opepators
• Optimal control of random evolutions
• ON UNIQUENESS OF THE SOLUTION OF BELLMAN'S EQUATION
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