Abstract
In this paper, we investigate a class of infinite-horizon optimal control problems for stochastic differential equations with delays for which the associated second order Hamilton−Jacobi−Bellman (HJB) equation is a nonlinear partial differential equation with delays. We propose a new concept for the viscosity solution including timetand identify the value function of the optimal control problems as a unique viscosity solution to the associated second order HJB equation.
Subject
Computational Mathematics,Control and Optimization,Control and Systems Engineering
Cited by
8 articles.
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