Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
840435 | Nonlinear Analysis: Theory, Methods & Applications | 2012 | 14 Pages |
Abstract
This work is devoted to the study of a class of Hamilton–Jacobi–Bellman equations associated to an optimal control problem where the state equation is a stochastic differential inclusion with a maximal monotone operator. We show that the value function minimizing a Bolza-type cost functional is a viscosity solution of the HJB equation. The proof is based on the perturbation of the initial problem by approximating the unbounded operator. Finally, by providing a comparison principle we are able to show that the solution of the equation is unique.
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Authors
Adrian Zălinescu,