A class of infinite-horizon stochastic delay optimal control problems and a viscosity solution to the associated HJB equation

DOI10.1051/cocv/2017042zbMath1401.93234OpenAlexW2623995997MaRDI QIDQ4554108

Jianjun Zhou

Publication date: 7 November 2018

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/cocv/2017042

zbMATH Keywords

viscosity solutionexistence and uniquenessinfinite-horizon optimal controlstochastic differential equations with delayssecond order Hamilton-Jacobi-Bellman equation

Mathematics Subject Classification ID

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)

Related Items

A notion of viscosity solutions to second-order Hamilton–Jacobi–Bellman equations with delays ⋮ Equivalence of minimax and viscosity solutions of path-dependent Hamilton-Jacobi equations ⋮ Semilinear Kolmogorov equations on the space of continuous functions via BSDEs ⋮ Infinite horizon stochastic maximum principle for stochastic delay evolution equations in Hilbert spaces

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