Dyanmic Programming in Control Theory: An Introduction (4)
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Abstract:
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. We introduced the concept of viscosity solution for HJB equation. We will show that the value function of a deterministic control problem is the unique viscosity solution of its HJB equation.
Reference：
1. Hanspeter Schmidli, Stochastic Control in Insurance
2. W. H. Fleming and H.M. Soner, Control Markov Processes and Viscosity Solution