Infinite horizon stochastic optimal control problems with running maximum cost
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convergencedynamic programmingrunning maximumsemi-Lagrangian schemesstochastic optimal controlviscosity solutions
Existence theories for optimal control problems involving partial differential equations (49J20) Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Optimal stochastic control (93E20)
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Cites work
- \((L^\infty+\mathrm{Bolza})\) control problems as dynamic differential games
- A Bellman's equation for minimizing the maximum cost
- A fast algorithm for the two dimensional HJB equation of stochastic control
- An approximation scheme for the optimal control of diffusion processes
- Consistency of a simple multidimensional scheme for Hamilton-Jacobi-Bellman equations
- Consistency of Generalized Finite Difference Schemes for the Stochastic HJB Equation
- CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
- Convergent difference schemes for nonlinear parabolic equations and mean curvature motion
- Discontinuous differential games and control systems with supremum cost
- Dynamic programming and error estimates for stochastic control problems with maximum cost
- Fully nonlinear oblique derivative problems for nonlinear second-order elliptic PDE's
- Homogenization in \(L^\infty\)
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- scientific article; zbMATH DE number 2146431 (Why is no real title available?)
- Linearization techniques for \(\mathbb{L}^{p}\)-control problems and dynamic programming principles in classical and \(\mathbb{L}^{p}\)-control problems
- On a discrete approximation of the Hamilton-Jacobi equation of dynamic programming
- On oblique derivative problems for fully nonlinear second-order elliptic PDE's on domains with corners
- On uniqueness and existence of viscosity solutions of fully nonlinear second-order elliptic PDE's
- Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
- Optimal Control of the Running Max
- Optimal Control on the L^\infty Norm of a Diffusion Process
- Semi-Lagrangian schemes for linear and fully non-linear diffusion equations
- Some Estimates for Finite Difference Approximations
- The Bellman equation for control of the running max of a diffusion and applications to look-back options
- The Bellman equation for minimizing the maximum cost
- User’s guide to viscosity solutions of second order partial differential equations
- Value function and optimal trajectories for a maximum running cost control problem with state constraints. Application to an abort landing problem
- Weak dynamic programming principle for viscosity solutions
- Zubov's equation for state-constrained perturbed nonlinear systems
- Zubov's method for controlled diffusions with state constraints
Cited in
(8)- Dynamic programming and error estimates for stochastic control problems with maximum cost
- Infinite horizon controlled diffusions with randomly varying and state-dependent discount cost rates
- Stochastic optimal control problem with infinite horizon driven by G-Brownian motion
- Optimal tracking portfolio with a ratcheting capital benchmark
- Infinite Horizon Average Cost Dynamic Programming Subject to Total Variation Distance Ambiguity
- Approximative policy iteration for exit time feedback control problems driven by stochastic differential equations using tensor train format
- A relaxed control problem with \(\mathbb{L}^\infty\) cost and jump dynamics motivated by cyber risks insurance
- An extended Merton problem with relaxed benchmark tracking
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