Stochastic Equations with Delay: Optimal Control via BSDEs and Regular Solutions of Hamilton–Jacobi–Bellman Equations

Marco Fuhrman; Federica Masiero; Gianmario Tessitore

doi:10.1137/080730354

Stochastic Equations with Delay: Optimal Control via BSDEs and Regular Solutions of Hamilton–Jacobi–Bellman Equations

SIAM Journal on Control and Optimization ◽

10.1137/080730354 ◽

2010 ◽

Vol 48 (7) ◽

pp. 4624-4651 ◽

Cited By ~ 20

Author(s):

Marco Fuhrman ◽

Federica Masiero ◽

Gianmario Tessitore

Keyword(s):

Optimal Control ◽

Stochastic Equations ◽

Regular Solutions ◽

Bellman Equations ◽

Hamilton Jacobi Bellman ◽

Equations With Delay

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Small-noise asymptotics of Hamilton–Jacobi–Bellman equations and bifurcations of stochastic optimal control problems

Communications in Nonlinear Science and Numerical Simulation ◽

10.1016/j.cnsns.2014.09.029 ◽

2015 ◽

Vol 22 (1-3) ◽

pp. 38-54 ◽

Cited By ~ 4

Author(s):

Dieter Grass ◽

Tatiana Kiseleva ◽

Florian Wagener

Keyword(s):

Optimal Control ◽

Stochastic Optimal Control ◽

Optimal Control Problems ◽

Control Problems ◽

Small Noise ◽

Bellman Equations ◽

Hamilton Jacobi Bellman ◽

Small Noise Asymptotics

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Optimal Control Problems of Fully Coupled FBSDEs and Viscosity Solutions of Hamilton--Jacobi--Bellman Equations

SIAM Journal on Control and Optimization ◽

10.1137/100816778 ◽

2014 ◽

Vol 52 (3) ◽

pp. 1622-1662 ◽

Cited By ~ 21

Author(s):

Juan Li ◽

Qingmeng Wei

Keyword(s):

Optimal Control ◽

Viscosity Solutions ◽

Optimal Control Problems ◽

Control Problems ◽

Bellman Equations ◽

Hamilton Jacobi Bellman ◽

Fully Coupled

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Optimal control of stochastic integrals and Hamilton Jacobi-Bellman equations

10.1109/cdc.1981.269458 ◽

1981 ◽

Cited By ~ 1

Author(s):

Pierre-louis Lions ◽

Jose-luis Menaldi

Keyword(s):

Optimal Control ◽

Stochastic Integrals ◽

Bellman Equations ◽

Hamilton Jacobi Bellman

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Application of viscosity solutions of infinite-dimensional Hamilton-Jacobi-Bellman equations to some problems in distributed optimal control

Journal of Optimization Theory and Applications ◽

10.1007/bf00939448 ◽

1990 ◽

Vol 64 (2) ◽

pp. 245-268 ◽

Cited By ~ 11

Author(s):

E. N. Barron

Keyword(s):

Optimal Control ◽

Viscosity Solutions ◽

Distributed Optimal Control ◽

Bellman Equations ◽

Infinite Dimensional ◽

Hamilton Jacobi Bellman

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Hamilton–Jacobi–Bellman equations for optimal control processes with convex state constraints

Systems & Control Letters ◽

10.1016/j.sysconle.2017.09.004 ◽

2017 ◽

Vol 109 ◽

pp. 30-36 ◽

Cited By ~ 4

Author(s):

Cristopher Hermosilla ◽

Richard Vinter ◽

Hasnaa Zidani

Keyword(s):

Optimal Control ◽

State Constraints ◽

Bellman Equations ◽

Control Processes ◽

Hamilton Jacobi Bellman

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Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application

Communications in Partial Differential Equations ◽

10.1080/03605308308820297 ◽

1983 ◽

Vol 8 (10) ◽

pp. 1101-1174 ◽

Cited By ~ 138

Author(s):

P. L Linos

Keyword(s):

Optimal Control ◽

Dynamic Programming ◽

Dynamic Programming Principle ◽

Bellman Equations ◽

Hamilton Jacobi Bellman

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Hamilton-jacobi-bellman equations for quantum optimal control

DAYS on DIFFRACTION 2006 ◽

10.1109/dd.2006.348159 ◽

2006 ◽

Author(s):

J. Gough ◽

V.A. Belavkin ◽

O.G. Smolyanov

Keyword(s):

Optimal Control ◽

Bellman Equations ◽

Quantum Optimal Control ◽

Hamilton Jacobi Bellman

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Optimal Control and Viscosity Solutions of Hamilton-Jacobi-Bellman Equations

10.1007/978-0-8176-4755-1 ◽

1997 ◽

Cited By ~ 934

Author(s):

Martino Bardi ◽

Italo Capuzzo-Dolcetta

Keyword(s):

Optimal Control ◽

Viscosity Solutions ◽

Bellman Equations ◽

Hamilton Jacobi Bellman

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The optimal control related to Riemannian manifolds and the viscosity solutions to Hamilton–Jacobi–Bellman equations

Systems & Control Letters ◽

10.1016/j.sysconle.2014.03.011 ◽

2014 ◽

Vol 69 ◽

pp. 7-15 ◽

Cited By ~ 3

Author(s):

Xuehong Zhu

Keyword(s):

Optimal Control ◽

Viscosity Solutions ◽

Riemannian Manifolds ◽

Bellman Equations ◽

Hamilton Jacobi Bellman

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Hamilton–Jacobi–Bellman Equations for the Optimal Control of the Duncan–Mortensen–Zakai Equation

Journal of Functional Analysis ◽

10.1006/jfan.2000.3562 ◽

2000 ◽

Vol 172 (2) ◽

pp. 466-510 ◽

Cited By ~ 17

Author(s):

Fausto Gozzi ◽

Andrzej Świech

Keyword(s):

Optimal Control ◽

Zakai Equation ◽

Bellman Equations ◽

Hamilton Jacobi Bellman

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