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On the Bellman equations with varying control
Published online by Cambridge University Press: 17 April 2009
Extract
The value function is presented by minimisation of a cost functional over admissible controls. The associated first order Bellman equations with varying control are treated. It turns out that the value function is a viscosity solution of the Bellman equation and the comparison principle holds, which is an essential tool in obtaining the uniqueness of the viscosity solutions.
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- Copyright © Australian Mathematical Society 1996
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