This paper is devoted to the uniqueness of discontinuous solutions to the Ž . Hamilton᎐Jacobi᎐Bellman HJB equation arising in Mayer's problem under state constraints. We use two types of discontinuous solutions, bilateral solution and contingent solution, and show that they coincide with the value f
Stochastic homogenization of Hamilton-Jacobi-Bellman equations
✍ Scribed by Elena Kosygina; Fraydoun Rezakhanlou; S. R. S. Varadhan
- Publisher
- John Wiley and Sons
- Year
- 2006
- Tongue
- English
- Weight
- 238 KB
- Volume
- 59
- Category
- Article
- ISSN
- 0010-3640
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