Mild solutions to the dynamic programming equation for stochastic optimal control problems

• Autores: Viorel Barbu, Chiara Benazzoli, Luca Di Persio
• Localización: Automatica: A journal of IFAC the International Federation of Automatic Control, ISSN 0005-1098, Vol. 93, 2018, págs. 520-526
• Idioma: inglés
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• Resumen

  • We show via the nonlinear semigroup theory in 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.