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 |
|---|---|
| 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 Jun 30 |
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All Science Journal Classification (ASJC) codes
- Control and Optimization
- Applied Mathematics
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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 journal › Article
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 -