Viscosity Solutions to HJB Equations for Boundary-Noise and Boundary-Control Problems

DOI10.1137/19M1257469zbMath1473.35613WikidataQ126318212 ScholiaQ126318212MaRDI QIDQ5210851

Andrzej Świȩch

Publication date: 22 January 2020

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

zbMATH Keywords

Hamilton-Jacobi-Bellman equationviscosity solutionstochastic optimal controlboundary-noise and boundary-control problem

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimality conditions for problems involving randomness (49K45) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15) PDEs in connection with control and optimization (35Q93)

Related Items (2)

Stochastic Control Problems with Unbounded Control Operators: Solutions Through Generalized Derivatives ⋮ Numerical analysis of a Neumann boundary control problem with a stochastic parabolic equation

Cites Work

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