Hamilton–Jacobi–Bellman Equations for th
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Fausto Gozzi; Andrzej Świech
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Article
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2000
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Elsevier Science
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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