Optimal Control of Stochastic Integrals and Hamilton-Jacobi-Bellman Equations, II

Abstract

We consider the solution of a stochastic integral control problem, and we study its regularity. In particular, we characterize the optimal cost as the maximum solution of /v V, A(v)u <=f(v) in ’(), u 0 on 0, u where A(v) is a uniformly elliptic second order operator and V is the set of the values of the control. 

Topics

Cite this paper

@inproceedings{Lions2016OptimalCO, title={Optimal Control of Stochastic Integrals and Hamilton-Jacobi-Bellman Equations, II}, author={Pierre-louis Lions and Marie Curie and Jos{\'e}-Luis Menaldi}, year={2016} }