Multiscale stochastic control with domain restriction in the slow variable

DOI10.1007/S10957-026-03001-6MaRDI QIDQ7239733zbMATH OpenFDO

Authors Anderson O. Calixto, Bernardo Freitas Paulo da Costa, Glauco Valle

Publication date 8 May 2026

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10957-026-03001-6

zbMATH Keywords

Hamilton-Jacobi-Bellman equationsmultiscale stochastic controlsingular perturbationstate constraintsviscosity solutions

Mathematics Subject Classification ID

Singular perturbations in context of PDEs (35B25) Viscosity solutions to PDEs (35D40) Dynamic programming in optimal control and differential games (49L20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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