hjb

The continuity of the value function and the HJB equation value function satisfies are discussed.

讨论约束条件的描述,最优投资问题值函数的连续性,以及值函数所满足的HJB方程.

By using stochastic optimal control theory, the Hamilton _ Jacobi _ Bellman ( HJB ) equation for target function was gotten.

根据随机最优控制理论, 导出了目标函数满足的Hamilton_Jacobi_Bellman ( HJB ) 方程.

First the associated Hamilton - Jacobi - Bellman ( HJB ) equation is given, then its continuously differentiable solution is constructed.

首先给出了最优控制问题对应的Hamilton_Jacobi_ Bellman 方程, 接着构造出了它的连续可微解.

This paper gives a proof of a comparison theorem on the viscosity solution of HJB Equation.

证明了与随机控制问题有关的动态规划方程粘性解的比较定理。

Optimal strategies are obtained with an abstract form in general cases via HJB equation which is derived from dynamic programming principle and stochastic analysis.

给出了财富预算方程，运用动态规划原理及随机分析导出该问题的HJB方程，并由此得到一般情形下抽象形式的解。