Viscosity Solutions to First Order Path-Dependent HJB Equations
Analysis of PDEs
2020-09-11 v2 Optimization and Control
Abstract
In this article, a notion of viscosity solutions is introduced for first order path-dependent Hamilton-Jacobi-Bellman (HJB) equations associated with optimal control problems for path-dependent differential equations. We identify the value functional of the optimal control problems as a unique viscosity solution to the associated HJB equations. We also show that our notion of viscosity solutions is consistent with the corresponding notion of classical solutions, and satisfies a stability property.
Cite
@article{arxiv.2004.02095,
title = {Viscosity Solutions to First Order Path-Dependent HJB Equations},
author = {Jianjun Zhou},
journal= {arXiv preprint arXiv:2004.02095},
year = {2020}
}
Comments
25 pages