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A supporting hyperplane derivation of the Hamilton-Jacobi-Bellman equation of dynamic programming

✍ Scribed by R.M Lewis


Publisher
Elsevier Science
Year
1980
Tongue
English
Weight
823 KB
Volume
75
Category
Article
ISSN
0022-247X

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Hamilton–Jacobi–Bellman Equations for th
✍ Fausto Gozzi; Andrzej Świech 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 285 KB

We study a class of Hamilton Jacobi Bellman (HJB) equations associated to stochastic optimal control of the Duncan Mortensen Zakai equation. The equations are investigated in weighted L 2 spaces. We introduce an appropriate notion of weak (viscosity) solution of such equations and prove that the val