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A class of infinite-horizon stochastic delay optimal control problems and a viscosity solution to the associated HJB equation.
- Source :
-
ESAIM: Control, Optimisation & Calculus of Variations . 2018, Vol. 24 Issue 2, p639-676. 38p. - Publication Year :
- 2018
-
Abstract
- In this paper, we investigate a class of infinite-horizon optimal control problems for stochastic differential equations with delays for which the associated second order Hamilton−Jacobi−Bellman (HJB) equation is a nonlinear partial differential equation with delays. We propose a new concept for the viscosity solution including time t and identify the value function of the optimal control problems as a unique viscosity solution to the associated second order HJB equation. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 12928119
- Volume :
- 24
- Issue :
- 2
- Database :
- Academic Search Index
- Journal :
- ESAIM: Control, Optimisation & Calculus of Variations
- Publication Type :
- Academic Journal
- Accession number :
- 132656838
- Full Text :
- https://doi.org/10.1051/cocv/2017042