您当前所在位置: 首页 > 学者

刘斌

  • 39浏览

  • 0点赞

  • 0收藏

  • 0分享

  • 131下载

  • 0评论

  • 引用

期刊论文

Properties of value function and existence of viscosity solution of HJB equation for stochastic boundary control problems

刘斌Huaiqiang Yu and Bin Liu

Journal of the Franklin Institute 348(2011),2108–2127,-0001,():

URL:

摘要/描述

In the present paper,we study stochastic boundary control problems where the system dynamics is a controlled stochastic parabolic equation with Neumann boundary control and boundary noise. Under some assumptions,the continuity and differentiability of the value function are proved.We also define a new type of Hamilton–Jacobi–Bellman(HJB) equation and prove that the value function is a viscosity solution of this HJB equation also defineanewtypeofHamilton–Jacobi–Bellman(HJB)equationandprovethatthevalue

【免责声明】以下全部内容由[刘斌]上传于[2013年04月06日 14时50分27秒],版权归原创者所有。本文仅代表作者本人观点,与本网站无关。本网站对文中陈述、观点判断保持中立,不对所包含内容的准确性、可靠性或完整性提供任何明示或暗示的保证。请读者仅作参考,并请自行承担全部责任。

我要评论

全部评论 0

本学者其他成果

    同领域成果