• DocumentCode
    3043445
  • Title

    Optimal control of stochastic integrals and Hamilton Jacobi-Bellman equations

  • Author

    Lions, Pierre-louis ; Menaldi, J.-L.

  • Author_Institution
    University of Paris-Dauphine, Paris Cedex, France
  • fYear
    1981
  • fDate
    16-18 Dec. 1981
  • Firstpage
    1340
  • Lastpage
    1344
  • Abstract
    We consider the solution of a stochastic integrals control problem. In particular, we characterize the optimal cost as the maximum subsolution of the Hamilton-Jacobi-Bellman equation with Dirichlet boundary conditions. We also prove some regularity results for the optimal cost.
  • Keywords
    Books; Boundary conditions; Cost function; Integral equations; Jacobian matrices; Mathematics; Optimal control; Stochastic processes;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control including the Symposium on Adaptive Processes, 1981 20th IEEE Conference on
  • Conference_Location
    San Diego, CA, USA
  • Type

    conf

  • DOI
    10.1109/CDC.1981.269458
  • Filename
    4047158
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3043445