Properties of value function and existence of viscosity solution of HJB equation for stochastic boundary control problems

DOI10.1016/j.jfranklin.2011.06.003zbMath1231.93120OpenAlexW2034715291MaRDI QIDQ658614

Huaiqiang Yu, Bin Liu

Publication date: 13 January 2012

Published in: Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jfranklin.2011.06.003

zbMATH Keywords

Hamilton-Jacobi-Bellman (HJB) equationcontrolled stochastic parabolic equationstochastic boundary control problems

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) 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)

Related Items (4)

A linear quadratic control problem for the stochastic heat equation driven by Q-Wiener processes ⋮ HJB equation for optimal control system with random impulses ⋮ Optimal control of backward stochastic heat equation with Neumann boundary control and noise ⋮ Viscosity Solutions to HJB Equations for Boundary-Noise and Boundary-Control Problems

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