A notion of viscosity solutions to second-order Hamilton-Jacobi-Bellman equations with delays

被引：5
|
作者：
Zhou, Jianjun [1 ]
机构：
[1] Northwest A&F Univ, Coll Sci, Yangling 712100, Shaanxi, Peoples R China
来源：
INTERNATIONAL JOURNAL OF CONTROL | 2022年 / 95卷 / 10期
基金：
中国国家自然科学基金;
关键词：
Second-order Hamilton– Jacobi– Bellman equations; viscosity solutions; optimal control; stochastic differential equations with delays; STOCHASTIC DIFFERENTIAL-EQUATIONS; INFINITE DIMENSIONS; MAXIMUM PRINCIPLE; SPACES;
D O I：
10.1080/00207179.2021.1921279
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In this article, a notion of viscosity solutions is introduced for second-order Hamilton-Jacobi-Bellman (HJB) equations with delays associated with optimal control problems for stochastic differential equations with delays. We identify the value functional of optimal control problem as the unique viscosity solution to the second-order HJB equation.
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页码：2611 / 2631
页数：21
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