Stochastic HJB equation 随机哈密顿
This paper gives a proof of a comparison theorem on the viscosity solution of HJB Equation.
证明了与随机控制问题有关的动态规划方程粘性解的比较定理。
Optimal strategies are obtained with an abstract form in general cases via HJB equation which is derived from dynamic programming principle and stochastic analysis.
给出了财富预算方程，运用动态规划原理及随机分析导出该问题的HJB方程，并由此得到一般情形下抽象形式的解。
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