Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities
From MaRDI portal
ergodic problemoptimal switchingrandomizationstochastic gamessystem of quasi-variational inequalities
Asymptotic behavior of solutions to PDEs (35B40) Unilateral problems for nonlinear parabolic equations and variational inequalities with nonlinear parabolic operators (35K86) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30)
Abstract: We analyze the asymptotic behavior for a system of fully nonlinear parabolic and elliptic quasi variational inequalities. These equations are related to robust switching control problems introduced in [3]. We prove that, as time horizon goes to infinity (resp. discount factor goes to zero) the long run average solution to the parabolic system (resp. the limiting discounted solution to the elliptic system) is characterized by a solution of a nonlinear system of ergodic variational inequalities. Our results hold under a dissipativity condition and without any non degeneracy assumption on the diffusion term. Our approach uses mainly probabilistic arguments and in particular a dual randomized game representation for the solution to the system of variational inequalities.
Recommendations
- On ergodic control of switching processes
- The controllability for nonlinear switching control systems
- On the numerical analysis of the ergodic control quasi-variational inequalities
- Robust Optimal Switching Control for Nonlinear Systems
- scientific article; zbMATH DE number 822854
- Nonsmooth control-Lyapunov function and stabilization of nonlinear switching systems
- Robust Stability of Switched Nonlinear Systems With Switching Uncertainties
- Stochastic linear quadratic control problem of switching systems with constraints
- Switching controls for linear stochastic differential systems
- Quantitative ergodicity for some switched dynamical systems
Cites work
- A model for investment decisions with switching costs.
- A probabilistic approach to large time behavior of mild solutions of HJB equations in infinite dimension
- An optimal pairs-trading rule
- Asymptotic Solutions of Hamilton–Jacobi Equations with Semi-Periodic Hamiltonians
- Backward SDE representation for stochastic control problems with nondominated controlled intensity
- Backward SDEs with constrained jumps and quasi-variational inequalities
- Bellman Equations of Risk-Sensitive Control
- BSDE representations for optimal switching problems with controlled volatility
- BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data
- BSDEs with jumps, optimization and applications to dynamic risk measures
- Continuous-time stochastic control and optimization with financial applications
- Ergodic BSDEs and optimal ergodic control in Banach spaces
- Ergodic problem for optimal stochastic switching
- Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
- Explicit Solution to an Optimal Switching Problem in the Two‐Regime Case
- Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE
- scientific article; zbMATH DE number 55826 (Why is no real title available?)
- scientific article; zbMATH DE number 4125214 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- Large time asymptotic problems for optimal stochastic control with superlinear cost
- Large time behavior of solutions of Hamilton-Jacobi-Bellman equations with quadratic nonlinearity in gradients
- Large time behavior of solutions to semilinear equations with quadratic growth in the gradient
- Long time asymptotics for fully nonlinear Bellman equations: a backward SDE approach
- Multi-dimensional BSDE with oblique reflection and optimal switching
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- On ergodic stochastic control
- On the Large Time Behavior of Solutions of Hamilton--Jacobi Equations
- On the One-Dimensional Optimal Switching Problem
- On the Starting and Stopping Problem: Application in Reversible Investments
- Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
- Optimal switching for the pairs trading rule: a viscosity solutions approach
- Reflected BSDEs with nonpositive jumps, and controller-and-stopper games
- Robust feedback switching control: dynamic programming and viscosity solutions
- Space-time periodic solutions and long-time behavior of solutions to quasi-linear parabolic equations
- Stochastic Perron's method for Hamilton-Jacobi-Bellman equations
- Switching problem and related system of reflected backward SDEs
- The Eigenvalue Problem of Singular Ergodic Control
- The finite horizon optimal multi-modes switching problem: the viscosity solution approach
- Two person zero-sum game in weak formulation and path dependent Bellman-Isaacs equation
- User’s guide to viscosity solutions of second order partial differential equations
- Valuation of energy storage: an optimal switching approach
Cited in
(5)- Optimal ergodic harvesting under ambiguity
- Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix
- A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets
- The randomization method in stochastic optimal control
- On vanishing gains in robust adaptation of switched systems: a new leakage-based result for a class of Euler-Lagrange dynamics
This page was built for publication: Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5270333)
