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Lions, P.-L.

Optimal control of diffusion processes and Hamilton-Jacobi-Bellman equations. II: Viscosity solutions and uniqueness. (English) Zbl 0716.49023

Commun. Partial Differ. Equations 8, No. 11, 1229-1276 (1983).
This second part of the paper is also covered by the review of the first part, ibid. 8, No.10, 1101-1174 (1983; Zbl 0716.49022). For part III see “Nonlinear partial differential equations and their applications”, Res. Notes Math. 93, 95-205 (1983; Zbl 0716.49024).

Cited in 5 Reviews
Cited in 202 Documents

MSC:

49K45 Optimality conditions for problems involving randomness
93E20 Optimal stochastic control
49L20 Dynamic programming in optimal control and differential games
49L25 Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games
35R60 PDEs with randomness, stochastic partial differential equations
60J60 Diffusion processes

Keywords:

Itô system; diffusion; Hamilton-Jacobi-Bellman; second-order elliptic operator; viscosity solution

Citations:

Zbl 0599.35024; Zbl 0716.49022; Zbl 0716.49024
Cite Review PDF
Full Text: DOI

References:

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