动态随机环境中Hamilton-Jacobi-Bellman方程有效Lagrangian的可微性
概率论
2023-06-26 v2 偏微分方程分析
摘要
我们证明了在时间上具有正依赖范围的随机动态环境中,连续时间多维有向变分问题的有效Lagrangian的可微性。这意味着相关HJB方程齐次化问题中极限基本解为经典解。
引用
@article{arxiv.2305.17276,
title = {Differentiability of the effective Lagrangian for Hamilton-Jacobi-Bellman equations in dynamic random environments},
author = {Yuri Bakhtin and Douglas Dow},
journal= {arXiv preprint arXiv:2305.17276},
year = {2023}
}
备注
Minor additions and changes in this version, 28 pages