2009•Journal of Shandong UniversityRequires access

Viscosity solution of the HJB equation for the stochastic relaxed control problem

Chen Li

Abstract

The Hamilton-Jacobi-Bellman equation(HJB equation for short)is obtained for the stochastic optimal control problem under the dynamic programming principle.It is proved that the optimal value function of the stochastic relaxed optimal control problem is the unique viscosity solution for the corresponding HJB equations.

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Available abstract

Key concepts: Hamilton–Jacobi–Bellman equation, Bellman equation, Viscosity solution, Stochastic control, Dynamic programming, Optimal control, Mathematics, Viscosity