Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models

DOI10.1186/S13662-022-03747-ZMaRDI QIDQ2110493zbMATH OpenOpenAlexFDO

Authors Jun-Hee Moon

Publication date 21 December 2022

Published in Advances in Continuous and Discrete Models (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1186/s13662-022-03747-z

zbMATH Keywords

jump-diffusion systemspartial integro-differential equationsstate-constrained problemsstochastic target problemsviscosity solutions

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)

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Cited in

(2)

• Linear-quadratic stochastic teams and zero-sum differential games for jump-diffusion systems with Markovian-switching coefficients under partial observations
• Deterministic and stochastic differential inclusions with multiple surfaces of discontinuity

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