A notion of viscosity solutions to second-order Hamilton–Jacobi–Bellman equations with delays
DOI10.1080/00207179.2021.1921279zbMath1501.93165OpenAlexW3163590623MaRDI QIDQ5043517
Publication date: 6 October 2022
Published in: International Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207179.2021.1921279
optimal controlviscosity solutionsstochastic differential equations with delayssecond-order Hamilton-Jacobi-Bellman equations
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stochastic functional-differential equations (34K50) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
Related Items (2)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
- Optimal stopping under nonlinear expectation
- A stochastic control problem with delay arising in a pension fund model
- Viscosity solutions of fully nonlinear elliptic path dependent partial differential equations
- Adapted solution of a backward stochastic differential equation
- The existence and uniqueness of the solution for nonlinear Kolmogorov equations
- Maximum principle for the stochastic optimal control problem with delay and application
- Viscosity solutions of obstacle problems for fully nonlinear path-dependent PDEs
- Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. III: Uniqueness of viscosity solutions for general second-order equations
- Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. I: The case of bounded stochastic evolutions
- Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control
- Functional Itō calculus and stochastic integral representation of martingales
- Stochastic maximum principle for SPDEs with delay
- On viscosity solutions of path dependent PDEs
- Controlled Markov processes and viscosity solutions
- Some Solvable Stochastic Control Problems With Delay
- Stochastic Optimal Control in Infinite Dimension
- Stochastic Equations with Delay: Optimal Control via BSDEs and Regular Solutions of Hamilton–Jacobi–Bellman Equations
- Optimal control problems for stochastic delay evolution equations in Banach spaces
- Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
- User’s guide to viscosity solutions of second order partial differential equations
- Backward Stochastic Differential Equations in Finance
- A class of infinite-horizon stochastic delay optimal control problems and a viscosity solution to the associated HJB equation
- Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs
- Second Order Hamilton--Jacobi Equations in Hilbert Spaces and Stochastic Boundary Control
- Functional Itô calculus
- Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing
This page was built for publication: A notion of viscosity solutions to second-order Hamilton–Jacobi–Bellman equations with delays
