Viscosity Solutions to Path-Dependent HJB Equation and Applications
Optimization and Control
2020-04-07 v4
Abstract
In this article, the notion of viscosity solution is introduced for the path-dependent Hamilton-Jacobi-Bellman (PHJB) equations associated with the optimal control problems for path-dependent stochastic differential equations. We identify the value functional of the optimal control problems as unique viscosity solution to the associated PHJB equations. Applications to backward stochastic Hamilton-Jacobi-Bellman equations are also given.
Cite
@article{arxiv.1611.05533,
title = {Viscosity Solutions to Path-Dependent HJB Equation and Applications},
author = {Jianjun Zhou},
journal= {arXiv preprint arXiv:1611.05533},
year = {2020}
}
Comments
There is a error in the proof of uniqueness