Max-plus stochastic processes (Q1879228)
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scientific article; zbMATH DE number 2101890
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| English | Max-plus stochastic processes |
scientific article; zbMATH DE number 2101890 |
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Max-plus stochastic processes (English)
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22 September 2004
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This paper is concerned with processes which are max-plus counterparts of Markov diffusion processes governed by Itô sense stochastic differential equations. Concepts of max-plus martingale and max-plus stochastic differential equation are introduced. The max-plus counterparts of backward and forward PDEs for Markov diffusions turn out to be first-order PDEs of Hamilton-Jacobi-Bellman type. Max-plus additive integrals and a max-plus additive dynamic programming principle are considered. This leads to variational inequalities of Hamilton-Jacobi-Bellman type.
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max-plus probability
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max-plus additive functional
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stochastic differential equations
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variational inequalities
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0.8058850765228271
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0.764879047870636
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0.764879047870636
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