Dynamic programming and error estimates for stochastic control problems with maximum cost

DOI10.1007/s00245-014-9255-3zbMath1311.93086OpenAlexW2016107460MaRDI QIDQ2340992

Athena Picarelli, Olivier Bokanowski, Hasnaa Zidani

Publication date: 21 April 2015

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-014-9255-3

zbMATH Keywords

error estimatesdynamic programmingstochastic optimal controlHamilton-Jacobi equationsreachable setsmaximum costlookback optionsoblique Neuman boundary condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Nonlinear parabolic equations (35K55) Dynamic programming (90C39) Optimal stochastic control (93E20) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Existence of optimal solutions to problems involving randomness (49J55)

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