HJB equation for optimal control system with random impulses

• Published in: Optimization Vol. 73; no. 4; pp. 1303 - 1327
• Main Authors: Guo, Yu, Shu, Xiao-Bao, Xu, Fei, Yang, Cheng
• Format: Journal Article
• Language: English
• Published: Philadelphia Taylor & Francis 02.04.2024; Taylor & Francis LLC
• Subjects: Differential equations; Feedback control; HJB equation; Optimal control; Performance indices; random impulse; Stochastic processes; viscosity solution

This paper studies the optimal control problem of random impulsive differential equations. Based on the influence of random impulse generation, we define a more reasonable performance index by setting the random function and obtain the HJB equation of random impulse. Using the basic analysis method...