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期刊论文
Properties of value function and existence of viscosity solution of HJB equation for stochastic boundary control problems
Journal of the Franklin Institute 348(2011),2108–2127,-0001,():
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
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