Degenerate Stochastic Control Problems with ExponentialCosts and Weakly Coupled Dynamics: Viscosity Solutions and a Maximum Principle

DOI10.1137/S0363012902417644zbMath1105.93062MaRDI QIDQ5317135

Peter E. Caines, M. Y. Huang, Roland P. Malhamé

Publication date: 15 September 2005

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

zbMATH Keywords

dynamic programmingviscosity solutionsHJB equationspower controldegenerate stochastic control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stochastic systems in control theory (general) (93E03) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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