We show via the nonlinear semigroup theory in L1(R) that the 1-D dynamic programming equation associated with a stochastic optimal control problem with multiplicative noise has a unique mild solution in a sense to be made precise

Mild solutions to the dynamic programming equation for stochastic optimal control problems

Luca Di Persio
2018-01-01

Abstract

We show via the nonlinear semigroup theory in L1(R) that the 1-D dynamic programming equation associated with a stochastic optimal control problem with multiplicative noise has a unique mild solution in a sense to be made precise
2018
Cauchy problem , m-accretive operator , Optimal control , Stochastic process
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11562/979169
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