Mild solutions to the dynamic programming equation for stochastic optimal control problems

被引：7
|
作者：
Barbu, Viorel [1 ]
Benazzoli, Chiara [2 ]
Di Persio, Luca [3 ]
机构：
[1] Alexandru Ioan Cuza Univ, Iasi, Romania
[2] Univ Trento, Dept Math, Trento, Italy
[3] Univ Verona, Dept Comp Sci, Verona, Italy
来源：
AUTOMATICA | 2018年 / 93卷
关键词：
Stochastic process; Optimal control; m-accretive operator; Cauchy problem; MODEL;
D O I：
10.1016/j.automatica.2018.02.008
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
We show via the nonlinear semigroup theory in L-1(R) that the 1-D dynamic programming equation associated with a stochastic optimal control problem with multiplicative noise has a unique mild solution in a sense to be made precise. (C) 2018 Elsevier Ltd. All rights reserved.
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页码：520 / 526
页数：7
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