Comparison Theorem of Solutions to BSDE with Jumps, and Viscosity Solution to a Generalized HJB Equation.
Rong SituPublished in: Control of Distributed Parameter and Stochastic Systems (1998)
Keyphrases
- hamilton jacobi bellman
- boundary value problem
- differential equations
- optimal control
- control problems
- optimal solution
- nonlinear systems
- mathematical model
- dynamical systems
- stochastic control
- closed form
- hamilton jacobi
- exact solution
- numerical solution
- numerical methods
- learning algorithm
- linear programming
- reinforcement learning