Max-plus stochastic control

MaRDI QIDQ4438200zbMATH OpenFDO

Authors Wendell Fleming

Publication date 25 February 2004

zbMATH Keywords

differential gamerunning coststochastic control

Mathematics Subject Classification ID

Nonlinear first-order PDEs (35F20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Review text

In this paper max-plus stochastic control problems are considered in which a minimizing control enters the state dynamics and running cost. The author shows that the minimum max-plus expected cost is equal to the upper Elliott-Kalton value of an associated differential game. For the entire collection see [Zbl 1005.00048].

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(9)

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