汉密尔顿-雅各比-贝尔曼方程
粘度
随机控制
应用数学
数学
随机微积分
比较定理
最优控制
计算机科学
数学优化
控制(管理)
数学分析
微分方程
随机偏微分方程
物理
人工智能
量子力学
作者
Weijun Meng,Jingtao Shi
标识
DOI:10.23919/ccc50068.2020.9189469
摘要
This paper is concerned with a kind of stochastic recursive optimal control problem with mixed delay. In the framework of viscosity solutions, stochastic verification theorem is proved. Furthermore, we find that the usual additional regularity assumptions are not necessary, which first were imposed on the viscosity solution to the HJB equation in Gozzi, Swiech and Zhou [20], as a supplementary assumption for the classical stochastic verification theorem. Hence we obtain a verification theorem under weaker assumptions.
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