Dyanmic Programming in Control Theory: An Introduction (III)
許順吉 教授Department of Mathematics, National Central University, 中央大學數學系 上午 10:00–12:00 鴻經館 M430室In the previous talks, we have learned that the HJB equation can be derived from a
deterministic control problem. This is a nonlinear first order equation that a solution
in general is not smooth. Moreover, the equation in general has multiple solutions. In
this talk we will introduce the concept of viscosity solution.. Under general condition,
we can prove that the value function of the control problem is the unique viscosity
solution of HJB equation.
Reference：1. Hanspeter Schmidli, Stochastic Control in Insurance
2. W. H. Fleming and H.M. Soner, Control Markov Processes and Viscosity Solution