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The Hamilton-Jacobi-Bellman Equation with a Gradient Constraint

The Hamilton-Jacobi-Bellman Equation with a Gradient Constraint PDF Author: Naoki Yamada
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Languages : en
Pages : 24

Book Description
As the first order Hamilton Jacobi equation is related to a control problem associated with ordinary differential equations, the Hamilton Jacobi Bellman (HJB) equation arises from a control problem with random noise. In the stationary problem, the HJB equation has the form sup when alpha is an element of A of (L superscript alpha)u - (f superscript and alpha = 0 where L superscript alpha are second order linear elliptic operators with parameter alpha an element of A. In this paper, we are concerned with the HJB equation of the form max
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