Document Type

Article

Abstract

We consider the solution of a stochastic integral control problem and we study its regularity. In particular, we characterize the optimal cost as the maximum solution of ∀vV, A(v)u ≤ ƒ(v) in D'(Ο), u = 0 on ∂Ο, uW1,∞(Ο),

where A(v) is a uniformly elliptic second order operator and V is the set of the values of the control.

Disciplines

Numerical Analysis and Computation

Comments

Copyright © 1982 Society for Industrial and Applied Mathematics.

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