Viscosity solutions to second order elliptic Hamilton-Jacobi-Bellman equations with infinite delay
DOI10.1214/24-AAP2078MaRDI QIDQ6620081
Publication date: 16 October 2024
Published in: The Annals of Applied Probability (Search for Journal in Brave)
optimal controlstochastic differential equationsinfinite delayviscosity solutionssecond-order elliptic Hamilton-Jacobi-Bellman equations
Dynamic programming in optimal control and differential games (49L20) Control/observation systems governed by functional-differential equations (93C23) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs with randomness, stochastic partial differential equations (35R60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Viscosity solutions to PDEs (35D40)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
- Fair demographic risk sharing in defined contribution pension systems
- A stochastic control problem with delay arising in a pension fund model
- Viscosity solutions of fully nonlinear elliptic path dependent partial differential equations
- The existence and uniqueness of the solution for stochastic functional differential equations with infinite delay
- Change of variable formulas for non-anticipative functionals on path space
- On controlled linear diffusions with delay in a model of optimal advertising under uncertainty with memory effects
- On the Hamilton-Jacobi-Bellman equations
- Functional differential equations with infinite delay
- 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
- Functional Itō calculus and stochastic integral representation of martingales
- On viscosity solutions of path dependent PDEs
- Techniques of variational analysis
- Some Solvable Stochastic Control Problems With Delay
- Stochastic Optimal Control in Infinite Dimension
- Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
- HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, I: Regularity of Viscosity Solutions
- Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
- Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
- Hamilton-Jacobi-Bellman equations for the optimal control of a state equation with memory
- Viscosity Solutions of Hamilton-Jacobi Equations
- User’s guide to viscosity solutions of second order partial differential equations
- 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
- Viscosity Solutions of Path-Dependent PDEs with Randomized Time
- Viscosity Solutions to HJB Equations for Boundary-Noise and Boundary-Control Problems
- Functional Itô calculus
- Viscosity solutions to second order path-dependent Hamilton-Jacobi-Bellman equations and applications
This page was built for publication: Viscosity solutions to second order elliptic Hamilton-Jacobi-Bellman equations with infinite delay
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6620081)
