Analysis of Hamilton-Jacobi-Bellman equations arising in stochastic singular control

DOI10.1051/cocv/2012001zbMath1259.49043arXiv1102.1109OpenAlexW2019963953MaRDI QIDQ4911011

Ryan Hynd

Publication date: 13 March 2013

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

Full work available at URL: https://arxiv.org/abs/1102.1109

zbMATH Keywords

Hamilton-Jacobi-Bellman equationfree boundary problemviscosity solutionspenalty methodsingular controlgradient constraint

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Second-order elliptic equations (35J15) Free boundary problems for PDEs (35R35) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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