Path-dependent Hamilton-Jacobi-Bellman equations related to controlled stochastic functional differential systems
Optimization and Control
2013-01-03 v3 Probability
Abstract
In this paper, a stochastic optimal control problem is investigated in which the system is governed by a stochastic functional differential equation. In the framework of functional It\^o calculus, we build the dynamic programming principle and the related Path-dependent Hamilton-Jacobi-Bellman (HJB) equation. We prove that the value function is the viscosity solution of the Path-dependent HJB equation.
Cite
@article{arxiv.1207.1194,
title = {Path-dependent Hamilton-Jacobi-Bellman equations related to controlled stochastic functional differential systems},
author = {Shaolin Ji and Shuzhen Yang},
journal= {arXiv preprint arXiv:1207.1194},
year = {2013}
}
Comments
We need to make a major change of this paper