Viscosity Solutions to Second Order Path-Dependent Hamilton-Jacobi-Bellman Equations
报告人:周建军
报告地点:腾讯会议
报告时间:2020年11月10日星期二14:00-15:00
邀请人:魏庆萌
报告摘要:
In this talk, a notion of viscosity solutions is introduced for second order path-dependent Hamilton-Jacobi-Bellman (PHJB) equations associated with optimal control problems for path-dependent stochastic differential equations. We identify the value functional of optimal control problems as unique viscosity solution to the associated PHJB equations. We also show that our notion of viscosity solutions is consistent with the corresponding notion of classical solutions, and satisfies a stability property.
会议网址:https://meeting.tencent.com/s/tg4uMqB6TUxo
会议ID:798 543 514
主讲人简介:
周建军,西北农林科技大学理学院副教授。研究方向为随机最优控制。具体为:二阶PHJB 方程的粘性解及其在随机(偏)微分方程最优控制问题中的应用;随机时滞发展方程的最优控制问题及其最大值原理。主持国家自然科学基金(青年项目)一项,陕西省自然基金两项。在 JDE,ESAIM COCV,International Journal of Control 等期刊上发表 SCI 论文10余篇。