Stochastic verification theorems within the framework of viscosity solutions

SIAM Journal on Control and Optimization

Volumn 35, Issue 1, 1997, Pages 243-253

  Zhou, Xun Yu ^a   Yong, Jiongmin ^b   Li, Xunjing ^b  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

^b FUDAN UNIVERSITY   (China)

Author keywords

Feedback control; Hamilton Jacobi Bellman equation; Stochastic optimal control; Superdifferential; Verification theorem; Viscosity solution

Indexed keywords

CONTROL THEORY; DIFFERENTIAL EQUATIONS; DYNAMIC PROGRAMMING; FEEDBACK CONTROL; OPTIMAL CONTROL SYSTEMS; OPTIMIZATION; PROBABILITY; SET THEORY;

HAMILTON-JACOBI-BELLMAN EQUATION; STOCHASTIC DIFFERENTIAL EQUATION; STOCHASTIC OPTIMAL CONTROL; VERIFICATION THEOREM;

STOCHASTIC CONTROL SYSTEMS;

EID: 0030869799     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012995279973     Document Type: Article

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