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A notion of viscosity solutions to second-order Hamilton–Jacobi–Bellman equations with delays.
- Source :
-
International Journal of Control . Oct2022, Vol. 95 Issue 10, p2611-2631. 21p. - Publication Year :
- 2022
-
Abstract
- In this article, a notion of viscosity solutions is introduced for second-order Hamilton–Jacobi–Bellman (HJB) equations with delays associated with optimal control problems for stochastic differential equations with delays. We identify the value functional of optimal control problem as the unique viscosity solution to the second-order HJB equation. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00207179
- Volume :
- 95
- Issue :
- 10
- Database :
- Academic Search Index
- Journal :
- International Journal of Control
- Publication Type :
- Academic Journal
- Accession number :
- 159448453
- Full Text :
- https://doi.org/10.1080/00207179.2021.1921279