Article ID Journal Published Year Pages File Type
7108604 Automatica 2018 7 Pages PDF
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.
Keywords
Related Topics
Physical Sciences and Engineering Engineering Control and Systems Engineering
Preview
Mild solutions to the dynamic programming equation for stochastic optimal control problems
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