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On the sufficiency of the Hamilton-Jacobi-Bellman equation for optimality of the controls in a linear optimal-time problem

โœ Scribed by F. Mignanego; G. Pieri


Publisher
Elsevier Science
Year
1986
Tongue
English
Weight
380 KB
Volume
6
Category
Article
ISSN
0167-6911

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Hamiltonโ€“Jacobiโ€“Bellman Equations for th
โœ Fausto Gozzi; Andrzej ลšwiech ๐Ÿ“‚ Article ๐Ÿ“… 2000 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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