Degenerate stochastic control problems with exponential costs and weakly coupled dynamics: Viscosity solutions and a maximum principle

SIAM Journal on Control and Optimization

Volumn 44, Issue 1, 2006, Pages 367-387

  Huang, Minyi ^a,b   Caines, Peter E ^a,c   Malhamé, Roland P ^c,d  

^a MCGILL UNIVERSITY   (Canada)

^b UNIVERSITY OF MELBOURNE   (Australia)

^c GERAD   (Canada)

^d ÉCOLE POLYTECHNIQUE DE MONTRÉAL   (Canada)

Author keywords

Degenerate stochastic control; Dynamic programming; HJB equations; Power control; Viscosity solutions

Indexed keywords

DEGENERATE STOCHASTIC CONTROL; HJB EQUATIONS; VISCOSITY SOLUTIONS;

APPROXIMATION THEORY; DYNAMICS; HAMILTONIANS; OPTIMIZATION; RANDOM PROCESSES;

CONTROL SYSTEMS;

EID: 33244458478     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012902417644     Document Type: Article

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