Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
Pierre‐Louis Lions
Abstract
Pierre‐Louis Lions
Abstract
We consider general optimal stochastic control problems and the associated Hamilton–Jacobi–Bellman equations. We develop a general notion of week solutions – called viscosity solutions – of the amilton–Jocobi–Bellman equations that is stable and we show that the optimal cost functions of the control problems are always solutions in that sense of the Hamilton–Jacobi–Bellman equations. We then prove general uniqueness results for viscosity solutions of the Hamilton–Jacobi–Bellman equations.
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We consider general optimal stochastic control problems and the associated Hamilton–Jacobi–Bellman equations. We develop a general notion of week solutions – called viscosity solutions – of the amilton–Jocobi–Bellman equations that is stable and we show that the optimal cost functions of the control problems are always solutions in that sense of the Hamilton–Jacobi–Bellman equations. We then prove general uniqueness results for viscosity solutions of the Hamilton–Jacobi–Bellman equations.
Key concepts: Hamilton–Jacobi equation, Viscosity solution, Mathematics, Hamilton–Jacobi–Bellman equation, Bellman equation, Uniqueness, Optimal control, Stochastic control