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Mild solutions to the dynamic programming equation for stochastic optimal control problems
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DOI：10.1016/j.automatica.2018.02.008.png)
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Abstract
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We show via the nonlinear semigroup theory in L-1(R) that the 1-D dynamic programming equation associated with a stochastic optimal control problem with multiplicative noise has a unique mild solution in a sense to be made precise. (C) 2018 Elsevier Ltd. All rights reserved.
Keywords:
Stochastic process
Optimal control
m-accretive operator
Cauchy problem
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