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dc.contributor.authorLions, Pierre-Louis
dc.date.accessioned2014-05-20T14:44:20Z
dc.date.available2014-05-20T14:44:20Z
dc.date.issued1983
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13347
dc.language.isoenen
dc.subjectOptimal stochastic controlen
dc.subjectdiffusion processesen
dc.subjectHamilton-Jacobi-Bellman equationsen
dc.subjectviscosity solutionsen
dc.subjectDynamic Programming Principleen
dc.subject.ddc519en
dc.titleOn the Hamilton-Jacobi-Bellman equationsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe consider general problems of optimal stochastic control and the associated Hamilton-Jacobi-Bellman equations. We recall first the usual derivation of the Hamilton-Jacobi-Bellman equations from the Dynamic Programming Principle. We then show and explain various results, including (i) continuity results for the optimal cost function, (ii) characterizations of the optimal cost function as the maximum subsolution, (iii) regularity results, and (iv) uniqueness results. We also develop the recent notion of viscosity solutions of Hamilton-Jacobi-Bellman equations.en
dc.relation.isversionofjnlnameActa Applicandae Mathematicae
dc.relation.isversionofjnlvol1en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate1983
dc.relation.isversionofjnlpages17-41en
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/BF02433840en
dc.relation.isversionofjnlpublisherSpringeren
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen


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