Dynamic programming and error estimates for stochastic control problems with maximum cost
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Publication:2340992
dynamic programmingerror estimatesHamilton-Jacobi equationsstochastic optimal controlreachable setsmaximum costlookback optionsoblique Neuman boundary condition
Dynamic programming (90C39) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55) Existence of optimal solutions to problems involving randomness (49J55) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Optimal stochastic control (93E20)
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Cites work
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- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 1166343 (Why is no real title available?)
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Cited in
(15)- A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection
- Zubov's method for controlled diffusions with state constraints
- Optimal tracking portfolio with a ratcheting capital benchmark
- State-constrained stochastic optimal control problems via reachability approach
- Dynamic programming and value-function approximation in sequential decision problems: error analysis and numerical results
- Dynamic programming principle for stochastic control problems driven by general Lévy noise
- Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains
- A monotone scheme for \(\mathrm{G}\)-equations with application to the explicit convergence rate of robust central limit theorem
- Error estimates for second order Hamilton-Jacobi-Bellman equations. Approximation of probabilistic reachable sets
- Improved Dynamic Programming Methods for Optimal Control of Lumped-Parameter Stochastic Systems
- Allocation of Control Points in Stochastic Dynamic-Programming Models
- An approximation scheme for uncertain minimax optimal control problems
- An approximation scheme for semilinear parabolic PDEs with convex and coercive Hamiltonians
- Infinite horizon stochastic optimal control problems with running maximum cost
- Error estimation and adaptive discretization for the discrete stochastic Hamilton-Jacobi-Bellman equation
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