Optimal Control of Stochastic Integrals and Hamilton-Jacobi-Bellman Equations, II
نویسندگان
چکیده
We consider the solution of a stochastic integral control problem, and we study its regularity. In particular, we characterize the optimal cost as the maximum solution of /v V, A(v)u <=f(v) in ’(), u 0 on 0, u where A(v) is a uniformly elliptic second order operator and V is the set of the values of the control.
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