Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7108604 | Automatica | 2018 | 7 Pages |
Abstract
We show via the nonlinear semigroup theory in L1(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.
Related Topics
Physical Sciences and Engineering
Engineering
Control and Systems Engineering
Authors
Viorel Barbu, Chiara Benazzoli, Luca Di Persio,