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Path-dependent Hamilton-Jacobi-Bellman equations related to controlled stochastic functional differential systems (1207.1194v3)
Published 5 Jul 2012 in math.OC and math.PR
Abstract: In this paper, a stochastic optimal control problem is investigated in which the system is governed by a stochastic functional differential equation. In the framework of functional It^o calculus, we build the dynamic programming principle and the related Path-dependent Hamilton-Jacobi-BeLLMan (HJB) equation. We prove that the value function is the viscosity solution of the Path-dependent HJB equation.
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