| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 4975525 | Journal of the Franklin Institute | 2011 | 20 Pages |
Abstract
In the present paper, we study stochastic boundary control problems where the system dynamics is a controlled stochastic parabolic equation with Neumann boundary control and boundary noise. Under some assumptions, the continuity and differentiability of the value function are proved. We also define a new type of Hamilton-Jacobi-Bellman (HJB) equation and prove that the value function is a viscosity solution of this HJB equation.
Related Topics
Physical Sciences and Engineering
Computer Science
Signal Processing
Authors
Huaiqiang Yu, Bin Liu,