Acta Applicandae Mathematica

, Volume 30, Issue 2, pp 101–123 | Cite as

Nonlinear potentials for Hamilton-Jacobi-Bellman equations

  • G. V. Nosovskij
Article

Abstract

A formalism is suggested which makes it possible to investigate Hamilton-Jacobi-Bellman-type equations of general form. For such equations, we construct certain families of nonlinear operators, which we call as ‘nonlinear potentials’. The suggested method of investigation forfully nonlinear equations is based on only information aboutlinear equations and their solutions. This is a generalization of N. V. Krylov's approach.

Mathematics Subject Classifications (1991)

60Hxx 58G32 60Jxx 

Key words

Stochastic control Hamilton-Jacobi-Bellman equation nonlinear potentials nonlinear PDE 

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Copyright information

© Kluwer Academic Publishers 1993

Authors and Affiliations

  • G. V. Nosovskij
    • 1
  1. 1.MoscowRussia

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