Derivation of the stochastic Hamilton-Jacobi-Bellman equation
Vasil Yordanov
TL;DR
This paper provides a detailed derivation of the stochastic Hamilton-Jacobi-Bellman equation, which is fundamental in stochastic control theory and optimal decision-making under uncertainty.
Contribution
It offers a comprehensive derivation of the stochastic HJB equation, clarifying its theoretical foundations and mathematical structure.
Findings
Clarifies the derivation process of the stochastic HJB equation
Provides insights into stochastic control optimization
Lays groundwork for future applications in stochastic systems
Abstract
In the present paper, we provide a detailed derivation of the stochastic Hamilton-Jacobi-Bellman equation
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Taxonomy
TopicsStochastic processes and financial applications · Advanced Thermodynamics and Statistical Mechanics · Mathematical Biology Tumor Growth