New Approach to Stochastic Optimal Control

R. Josa-Fombellida () and Juan Pablo Rincón-Zapatero
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R. Josa-Fombellida: Universidad de Valladolid

Journal of Optimization Theory and Applications, 2007, vol. 135, issue 1, No 11, 163-177

Abstract: Abstract This paper provides new insights into the solution of optimal stochastic control problems by means of a system of partial differential equations, which characterize directly the optimal control. This new system is obtained by the application of the stochastic maximum principle at every initial condition, assuming that the optimal controls are smooth enough. The type of problems considered are those where the diffusion coefficient is independent of the control variables, which are supposed to be interior to the control region.

Keywords: Optimal stochastic control; Itô’s formula; Hamilton–Jacobi–Bellman equation; Semilinear parabolic equation (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s10957-007-9262-5

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