Probabilistic interpretation of a coupled system of Hamilton-Jacobi-Bellman equations

被引：8

作者：

Buckdahn, Rainer ^{[1
]}

Hu, Ying ^{[2
]}

机构：

[1] Univ Bretagne Occidentale, Dept Math, F-29238 Brest 3, France

[2] Univ Rennes 1, IRMAR, F-35042 Rennes, France

来源：

JOURNAL OF EVOLUTION EQUATIONS | 2010年 / 10卷 / 03期

关键词：

DIFFERENTIAL-EQUATIONS;

D O I：

10.1007/s00028-010-0060-4

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we give a probabilistic interpretation for a coupled system of Hamilton-Jacobi-Bellman equations using the value function of a stochastic control problem. First we introduce this stochastic control problem. Then we prove that the value function of this problem is deterministic and satisfies a (strong) dynamic programming principle. And finally, the value function is shown to be the unique viscosity solution of the coupled system of Hamilton-Jacobi-Bellman equations.

引用

页码：529 / 549

页数：21

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