Optimal control with random parameters: a multiscale approach
From MaRDI portal
Recommendations
- Optimal control problems for diffusion processes with random parameters
- Optimal control in systems with a random step structure
- Publication:3026889
- scientific article; zbMATH DE number 3685307
- Near-optimal control for multiparameter singularly perturbed stochastic systems
- Stochastic Control of Multidimensional Systems With Relative Optimization
- Numerical methods for random parameter optimal control and the optimal control of stochastic differential equations
- Optimal control for uncertain random continuous-time systems
- Optimal Control of Stochastic Partial Differential Equations
- Optimal Control and Stochastic Parameter Estimation
Cites work
- scientific article; zbMATH DE number 1799591 (Why is no real title available?)
- scientific article; zbMATH DE number 3877865 (Why is no real title available?)
- scientific article; zbMATH DE number 3879389 (Why is no real title available?)
- scientific article; zbMATH DE number 3688420 (Why is no real title available?)
- scientific article; zbMATH DE number 193190 (Why is no real title available?)
- scientific article; zbMATH DE number 1734433 (Why is no real title available?)
- scientific article; zbMATH DE number 1113627 (Why is no real title available?)
- scientific article; zbMATH DE number 1502618 (Why is no real title available?)
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
- scientific article; zbMATH DE number 3798532 (Why is no real title available?)
- scientific article; zbMATH DE number 1856209 (Why is no real title available?)
- Averaging of singularly perturbed controlled stochastic differential equations
- Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
- Controlled Markov processes and viscosity solutions
- Controlled diffusions in a random medium
- Convergence by viscosity methods in multiscale financial models with stochastic volatility
- Ergodicity, stabilization, and singular perturbations for Bellman-Isaacs equations
- Existence of neighboring feasible trajectories: applications to dynamic programming for state-constrained optimal control problems
- Homogenization of fully nonlinear, uniformly elliptic and parabolic partial differential equations in stationary ergodic media
- Multiscale Stochastic Volatility Asymptotics
- Multiscale problems and homogenization for second-order Hamilton-Jacobi equations
- Multiscale singular perturbations and homogenization of optimal control problems
- On Poisson equation and diffusion approximation. II.
- On the Bellman equation for some unbounded control problems
- On the Poisson equation and diffusion approximation. I
- Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
- Singular Perturbations in Ergodic Control of Diffusions
- Singular Perturbations in Option Pricing
- Singular perturbations in control problems
- Singular perturbations of nonlinear degenerate parabolic pDEs: A general convergence result
- The perturbed test function method for viscosity solutions of nonlinear PDE
- Uniqueness Results for Second-Order Bellman--Isaacs Equations under Quadratic Growth Assumptions and Applications
- Uniqueness results for quasilinear parabolic equations through viscosity solutions' methods
- User’s guide to viscosity solutions of second order partial differential equations
- Viscosity Solutions Methods for Singular Perturbations in Deterministic and Stochastic Control
- Weak convergence methods and singularly perturbed stochastic control and filtering problems
- Well-posed optimization problems
Cited in
(16)- Singular perturbations in stochastic optimal control with unbounded data
- The generalized principal eigenvalue for Hamilton-Jacobi-Bellman equations of ergodic type
- Approximation of Optimal Stopping Problems and Variational Inequalities Involving Multiple Scales in Economics and Finance
- scientific article; zbMATH DE number 440565 (Why is no real title available?)
- Controlled diffusions in a random medium
- Singular perturbations and optimal control of stochastic systems in infinite dimension: HJB equations and viscosity solutions
- Deep relaxation of controlled stochastic gradient descent via singular perturbations
- A Fokker-Planck control framework for multidimensional stochastic processes
- Singular perturbations for a subelliptic operator
- Large deviations for some fast stochastic volatility models by viscosity methods
- An asymptotic analysis of controlled diffusions with rapidly oscillating parameters
- Liouville properties and critical value of fully nonlinear elliptic operators
- Singular limit of two-scale stochastic optimal control problems in infinite dimensions by vanishing noise regularization
- Convergence in multiscale financial models with non-Gaussian stochastic volatility
- On a limiting description of robust parallel control in a random environment
- Risk-neutral multiobjective optimal control of random Volterra integral equations
This page was built for publication: Optimal control with random parameters: a multiscale approach
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q431771)
