Optimal control with random parameters: a multiscale approach

DOI10.3166/ejc.17.30-45zbMath1248.49038OpenAlexW2056733789MaRDI QIDQ431771

Annalisa Cesaroni, Martino Bardi

Publication date: 3 July 2012

Published in: European Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3166/ejc.17.30-45

zbMATH Keywords

stochastic controlsingular perturbationsasymptotic approximationviscosity solutionsmultiscale problemsdeterministic controlsensitivity of control problemswell-posedness of control problems

Mathematics Subject Classification ID

Sensitivity, stability, well-posedness (49K40) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (9)

Liouville properties and critical value of fully nonlinear elliptic operators ⋮ Singular Limit of Two-Scale Stochastic Optimal Control Problems in Infinite Dimensions by Vanishing Noise Regularization ⋮ Singular perturbations in stochastic optimal control with unbounded data ⋮ Approximation of Optimal Stopping Problems and Variational Inequalities Involving Multiple Scales in Economics and Finance ⋮ Singular perturbations for a subelliptic operator ⋮ Convergence in multiscale financial models with non-Gaussian stochastic volatility ⋮ Singular perturbations and optimal control of stochastic systems in infinite dimension: HJB equations and viscosity solutions ⋮ The generalized principal eigenvalue for Hamilton-Jacobi-Bellman equations of ergodic type ⋮ Large deviations for some fast stochastic volatility models by viscosity methods

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