Hermite approximation of a hyperbolic Fokker-Planck optimality system to control a piecewise-deterministic process

DOI10.1080/00207179.2015.1130265MaRDI QIDQ2954022zbMATH OpenOpenAlexFDO

Authors Masoumeh Mohammadi, Alfio Borzì

Publication date 11 January 2017

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207179.2015.1130265

zbMATH Keywords

Fokker-Planck equationHermite spectral discretisationnumerical analysisoptimal control theorypiecewise deterministic processunbounded domains

Mathematics Subject Classification ID

Initial-boundary value problems for first-order hyperbolic equations (35L04) PDEs in connection with control and optimization (35Q93) Continuous-time Markov processes on discrete state spaces (60J27) Optimal stochastic control (93E20)

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• scientific article; zbMATH DE number 1174959

Cites work

• A Fokker-Planck control framework for multidimensional stochastic processes
• Average continuous control of piecewise deterministic Markov processes
• Combined Hermite spectral-finite difference method for the Fokker-Planck equation
• Discrete transparent boundary conditions for parabolic systems
• First and second-order necessary and sufficient optimality conditions for infinite-dimensional programming problems
• Hermite Spectral Method to 1-D Forward Kolmogorov Equation and Its Application to Nonlinear Filtering Problems
• Hermite Spectral Methods with a Time-Dependent Scaling for Parabolic Equations in Unbounded Domains
• On an optimal control problem involving first order hyperbolic systems with boundary controls
• On filtered binary processes
• On nonreflecting boundary conditions
• Optimal control of a class of piecewise deterministic processes
• Optimal control of parabolic variational inequalities
• The Diffusion Limit of Transport Equations Derived from Velocity-Jump Processes

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