Optimal Control of Stochastic Integrals and Hamilton–Jacobi–Bellman Equations. I

DOI10.1137/0320006zbMath0478.93069OpenAlexW2156580702MaRDI QIDQ3936621

Pierre-Louis Lions, José Luis Menaldi

Publication date: 1982

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

Full work available at URL: https://doi.org/10.1137/0320006

zbMATH Keywords

regularityWiener processHamilton-Jacobi-Bellman equationsoptimal coststochastic integrals

Mathematics Subject Classification ID

Semigroups of nonlinear operators (47H20) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Fixed-point theorems (47H10) Nonlinear elliptic equations (35J60) Optimal stochastic control (93E20) Existence of optimal solutions to problems involving randomness (49J55)

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