Optimal Control of Stochastic Functional Differential Equations with a Bounded Memory∗
نویسندگان
چکیده
This paper treats a finite time horizon optimal control problem in which the controlled state dynamics is governed by a general system of stochastic functional differential equations with a bounded memory. An infinite-dimensional HJB equation is derived using a Bellman-type dynamic programming principle. It is shown that the value function is the unique viscosity solution of the HJB equation.
منابع مشابه
Stochastic Optimal Control Problems with a Bounded Memory∗
This paper treats a finite time horizon optimal control problem in which the controlled state dynamics is governed by a general system of stochastic functional differential equations with a bounded memory. An infinite-dimensional HJB equation is derived using a Bellman-type dynamic programming principle. It is shown that the value function is the unique viscosity solution of the HJB equation. I...
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