Dyanmic Programming in Control Theory: An Introduction (5)
許順吉教授 上午 10:00–12:00 Hongjing Hall 430 室In this talk, we consider a stochastic control problem for diffusion process. We
discuss dynamic programming approach. This includes the validity of dynamic
programming principle, the derivation of HJB equation, concept of viscosity solution
for HJB equation and formulation of the verification theorem. We only discuss them
briefly in this short note.
Reference：1. Hanspeter Schmidli, Stochastic Control in Insurance
2. W. H. Fleming and H.M. Soner, Control Markov Processes and Viscosity Solution