Mild solutions to the dynamic programming equation for stochastic optimal control problems

被引：8

作者：

Barbu, Viorel ^{[1
]}

Benazzoli, Chiara ^{[2
]}

Di Persio, Luca ^{[3
]}

机构：

[1] Alexandru Ioan Cuza Univ, Iasi, Romania

[2] Univ Trento, Dept Math, Trento, Italy

[3] Univ Verona, Dept Comp Sci, Verona, Italy

来源：

AUTOMATICA | 2018年 / 93卷

关键词：

Stochastic process; Optimal control; m-accretive operator; Cauchy problem; MODEL;

D O I：

10.1016/j.automatica.2018.02.008

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

We show via the nonlinear semigroup theory in L-1(R) that the 1-D dynamic programming equation associated with a stochastic optimal control problem with multiplicative noise has a unique mild solution in a sense to be made precise. (C) 2018 Elsevier Ltd. All rights reserved.

引用

页码：520 / 526

页数：7

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[Anonymous], 1975, ANN SCUOLA NORM-SCI

[2]

[Anonymous], 2012, DETERMINISTIC STOCHA

[3]

[Anonymous], 2003, Stochastic Differential Equations

[4]

Barbu V, 2010, SPRINGER MONOGR MATH, P1, DOI 10.1007/978-1-4419-5542-5