|
|||||
|
|
Determination of a controllable set for a class of non‐linear stochastic control systems |
|
| Authors: | Yazeng Liu Shige Peng |
| Abstract: | A controllable set of a class of non‐linear stochastic control systems to a given set is defined. A value function associated with an optimal control problem is introduced. Under some reasonable conditions, the controllable set is characterized by a level set of the viscosity solution of a Hamilton–Jacobi–Bellman equation. Copyright © 2003 John Wiley & Sons, Ltd. |
| Keywords: | controllable set stochastic control systems optimal control Hamilton– Jacobi– Bellman equation |