Solving Elliptic Hamilton-Jacobi-Bellman Equations in a Value Space
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DOI: 10.1109/lcsys.2020.2999650
Abstract: In this letter, we study the numerical solutions of a class of elliptic type of Hamilton-Jacobi-Bellman (HJB) equations, which arise from stochastic control and multiplayer stochastic game problems with random terminal time. Two closely related… read more here.
Keywords: bellman equations; jacobi bellman; hamilton jacobi;