SIAM Journal on Control and Optimization, Vol.48, No.3, 1309-1334, 2009
ON A HAMILTON-JACOBI-BELLMAN EQUATION RELATED TO A STOCHASTIC PERIODIC MODEL
We study a Hamilton-Jacobi-Bellman equation which we can derive in connection with a stochastic process describing a perturbed periodic model under control. We show that the cost function is the unique viscosity solution of the equation.
Keywords:Hamilton-Jacobi-Bellman equation;viscosity solution;controlled process;stochastic periodic model