On a hamilton-jacobi-bellman equation related to a stochastic periodic model

A. H.N. Cheonghee, H. I. Jun Choe, L. E.E. Kijung

Research output: Contribution to journalArticle

Abstract

We study a Hamilton-Jacobi-Bellman equation which we can derive in connection with a stochastic process describing a perturbed periodic model under control. We show that the cost function is the unique viscosity solution of the equation.

Original languageEnglish
Pages (from-to)1309-1334
Number of pages26
JournalSIAM Journal on Control and Optimization
Volume48
Issue number3
DOIs
Publication statusPublished - 2009 Jun 30

Fingerprint

Hamilton-Jacobi-Bellman Equation
Viscosity Solutions
Random processes
Cost functions
Cost Function
Stochastic Processes
Viscosity
Model

All Science Journal Classification (ASJC) codes

  • Control and Optimization
  • Applied Mathematics

Cite this

@article{1442af0920a94a8ca9f55741ba380349,
title = "On a hamilton-jacobi-bellman equation related to a stochastic periodic model",
abstract = "We study a Hamilton-Jacobi-Bellman equation which we can derive in connection with a stochastic process describing a perturbed periodic model under control. We show that the cost function is the unique viscosity solution of the equation.",
author = "Cheonghee, {A. H.N.} and {Jun Choe}, {H. I.} and Kijung, {L. E.E.}",
year = "2009",
month = "6",
day = "30",
doi = "10.1137/070685440",
language = "English",
volume = "48",
pages = "1309--1334",
journal = "SIAM Journal on Control and Optimization",
issn = "0363-0129",
publisher = "Society for Industrial and Applied Mathematics Publications",
number = "3",

}

On a hamilton-jacobi-bellman equation related to a stochastic periodic model. / Cheonghee, A. H.N.; Jun Choe, H. I.; Kijung, L. E.E.

In: SIAM Journal on Control and Optimization, Vol. 48, No. 3, 30.06.2009, p. 1309-1334.

Research output: Contribution to journalArticle

TY - JOUR

T1 - On a hamilton-jacobi-bellman equation related to a stochastic periodic model

AU - Cheonghee, A. H.N.

AU - Jun Choe, H. I.

AU - Kijung, L. E.E.

PY - 2009/6/30

Y1 - 2009/6/30

N2 - We study a Hamilton-Jacobi-Bellman equation which we can derive in connection with a stochastic process describing a perturbed periodic model under control. We show that the cost function is the unique viscosity solution of the equation.

AB - We study a Hamilton-Jacobi-Bellman equation which we can derive in connection with a stochastic process describing a perturbed periodic model under control. We show that the cost function is the unique viscosity solution of the equation.

UR - http://www.scopus.com/inward/record.url?scp=67649268465&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=67649268465&partnerID=8YFLogxK

U2 - 10.1137/070685440

DO - 10.1137/070685440

M3 - Article

AN - SCOPUS:67649268465

VL - 48

SP - 1309

EP - 1334

JO - SIAM Journal on Control and Optimization

JF - SIAM Journal on Control and Optimization

SN - 0363-0129

IS - 3

ER -