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 language | English |
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Pages (from-to) | 1309-1334 |
Number of pages | 26 |
Journal | SIAM Journal on Control and Optimization |
Volume | 48 |
Issue number | 3 |
DOIs | |
Publication status | Published - 2009 |
All Science Journal Classification (ASJC) codes
- Control and Optimization
- Applied Mathematics