Deterministic control of randomly-terminated processes

DOI10.4171/IFB/312zbMath1292.49027arXiv1310.7161OpenAlexW2069377142MaRDI QIDQ2252221

Alexander Vladimirsky, June Andrews

Publication date: 16 July 2014

Published in: Interfaces and Free Boundaries (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.7161

zbMATH Keywords

dynamic programmingoptimal stoppingfree boundaryfast marching methodlabel settingexpected response timedeterministic control processesrandom termination time

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Free boundary problems for PDEs (35R35) Graph algorithms (graph-theoretic aspects) (05C85) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimality conditions for problems involving randomness (49K45) Numerical solution of discretized equations for boundary value problems involving PDEs (65N22)

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