SINGULAR OPTIMAL STOCHASTIC CONTROLS .2. DYNAMIC-PROGRAMMING

被引：48

作者：

HAUSSMANN, UG ^{[1
]}

SUO, WL ^{[1
]}

机构：

[1] UNIV TORONTO,FAC MANAGEMENT,TORONTO,ON M5S 1V4,CANADA

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 1995年 / 33卷 / 03期

关键词：

SINGULAR CONTROLS; CONTROL RULES; VALUE FUNCTION; DYNAMIC PROGRAMMING PRINCIPLE; HAMILTON-JACOBI-BELLMAN EQUATION; VISCOSITY SOLUTION;

D O I：

10.1137/S0363012993250529

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

The dynamic programming principle for a multidimensional singular stochastic control problem is established in this paper. When assuming Lipschitz continuity on the data, it is shown that the value function is continuous and is the unique viscosity solution of the corresponding Hamilton-Jacobi-Bellman equation.

引用

页码：937 / 959

页数：23

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