Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models
From MaRDI portal
Publication:2110493
DOI10.1186/s13662-022-03747-zOpenAlexW4311079567MaRDI QIDQ2110493
Publication date: 21 December 2022
Published in: Advances in Continuous and Discrete Models (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s13662-022-03747-z
viscosity solutionspartial integro-differential equationsstochastic target problemsstate-constrained problemsjump-diffusion systems
Integro-partial differential equations (45K05) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Viability property of jump diffusion processes on manifolds
- Optimal control versus stochastic target problems: an equivalence result
- Stochastic representation for solutions of Isaacs' type integral-partial differential equations
- Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
- Functional analysis, Sobolev spaces and partial differential equations
- Pursuit-evasion games with state constraints: dynamic programming and discrete-time approximations.
- Jump-diffusions with controlled jumps: Existence and numerical methods
- Hamilton-Jacobi-Bellman equations for optimal control processes with convex state constraints
- Discontinuous solutions of Hamilton-Jacobi-Bellman equation under state constraints
- The relaxed stochastic maximum principle in optimal control of diffusions with controlled jumps
- The viability property of controlled jump diffusion processes
- Stochastic targets with mixed diffusion processes and viscosity solutions.
- State-Constrained Stochastic Optimal Control Problems via Reachability Approach
- Viability Theory
- Backward stochastic differential equations and integral-partial differential equations
- Optimal Control under Stochastic Target Constraints
- On the Existence of Optimal Controls
- Stochastic Target Problems with Controlled Loss in Jump Diffusion Models
- Hamilton-Jacobi Equations with State Constraints
- Numerical Approximation for a Superreplication Problem under Gamma Constraints
- Lévy Processes and Stochastic Calculus
- Optimal Control with State-Space Constraint I
- Optimal Control with State-Space Constraint. II
- User’s guide to viscosity solutions of second order partial differential equations
- Survey of Measurable Selection Theorems
- Existence of stochastic control under state constraints
- The viability theorem for stochastic differential inclusions2
- A class of stochastic optimal control problems with state constraint
- Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions
- Weak Dynamic Programming for Generalized State Constraints
- A general Hamilton-Jacobi framework for non-linear state-constrained control problems
- Set-valued analysis
- Viability theory