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
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;
Conference_Titel :
Decision and Control including the Symposium on Adaptive Processes, 1981 20th IEEE Conference on
Conference_Location :
San Diego, CA, USA
DOI :
10.1109/CDC.1981.269458
