Weak Dynamic Programming for Generalized State ConstraintsReport as inadecuate



 Weak Dynamic Programming for Generalized State Constraints


Weak Dynamic Programming for Generalized State Constraints - Download this document for free, or read online. Document in PDF available to download.

Download or read this book online for free in PDF: Weak Dynamic Programming for Generalized State Constraints
We provide a dynamic programming principle for stochastic optimal control problems with expectation constraints. A weak formulation, using test functions and a probabilistic relaxation of the constraint, avoids restrictions related to a measurable selection but still implies the Hamilton-Jacobi-Bellman equation in the viscosity sense. We treat open state constraints as a special case of expectation constraints and prove a comparison theorem to obtain the equation for closed state constraints.



Author: Bruno Bouchard; Marcel Nutz

Source: https://archive.org/







Related documents