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

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

doi:10.1137/070685440

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

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

Department of Mathematics

Research output: Contribution to journal › Article › peer-review

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	https://doi.org/10.1137/070685440
Publication status	Published - 2009

All Science Journal Classification (ASJC) codes

Control and Optimization
Applied Mathematics

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10.1137/070685440

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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.",

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