Dynamic programming and error estimates for stochastic control problems with maximum cost
DOI10.1007/S00245-014-9255-3zbMATH Open1311.93086OpenAlexW2016107460MaRDI QIDQ2340992FDOQ2340992
Authors: Olivier Bokanowski, Athena Picarelli, 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
Recommendations
- Infinite horizon stochastic optimal control problems with running maximum cost
- Error estimates for second order Hamilton-Jacobi-Bellman equations. Approximation of probabilistic reachable sets
- Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton–Jacobi–Bellman Equation
- Optimal Control of the Running Max
- Error estimation and adaptive discretization for the discrete stochastic Hamilton-Jacobi-Bellman equation
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)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- A general Hamilton-Jacobi framework for non-linear state-constrained control problems
- An approximation scheme for the optimal control of diffusion processes
- CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
- Consistency of Generalized Finite Difference Schemes for the Stochastic HJB Equation
- Convergent difference schemes for nonlinear parabolic equations and mean curvature motion
- Error Bounds for Monotone Approximation Schemes for Hamilton--Jacobi--Bellman Equations
- Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
- Error estimates for a stochastic impulse control problem
- Error estimates for stochastic differential games: the adverse stopping case
- Fronts propagating with curvature-dependent speed: Algorithms based on Hamilton-Jacobi formulations
- Fully nonlinear Neumann type boundary conditions for first-order Hamilton–Jacobi equations
- Fully nonlinear oblique derivative problems for nonlinear second-order elliptic PDE's
- Neumann type boundary conditions for Hamilton-Jacobi equations
- On a discrete approximation of the Hamilton-Jacobi equation of dynamic programming
- On oblique derivative problems for fully nonlinear second-order elliptic partial differential equations on nonsmooth domains
- On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
- Optimal Control of the Running Max
- Optimal Control on the $L^\infty $ Norm of a Diffusion Process
- Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
- Probability methods for approximations in stochastic control and for elliptic equations
- Reachability and Minimal Times for State Constrained Nonlinear Problems without Any Controllability Assumption
- Semi-Lagrangian schemes for linear and fully non-linear diffusion equations
- Some Estimates for Finite Difference Approximations
- Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions
- Stochastic targets with mixed diffusion processes and viscosity solutions.
- The Bellman equation for control of the running max of a diffusion and applications to look-back options
- The viability theorem for stochastic differential inclusions2
- User’s guide to viscosity solutions of second order partial differential equations
- Viscosity solutions of fully nonlinear second-order elliptic partial differential equations
- Weak dynamic programming principle for viscosity solutions
Cited In (15)
- Error estimates for second order Hamilton-Jacobi-Bellman equations. Approximation of probabilistic reachable sets
- Error estimation and adaptive discretization for the discrete stochastic Hamilton-Jacobi-Bellman equation
- A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection
- Improved Dynamic Programming Methods for Optimal Control of Lumped-Parameter Stochastic Systems
- Optimal tracking portfolio with a ratcheting capital benchmark
- State-constrained stochastic optimal control problems via reachability approach
- Zubov's method for controlled diffusions with state constraints
- Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains
- An approximation scheme for semilinear parabolic PDEs with convex and coercive Hamiltonians
- Allocation of Control Points in Stochastic Dynamic-Programming Models
- A monotone scheme for \(\mathrm{G}\)-equations with application to the explicit convergence rate of robust central limit theorem
- 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
- An approximation scheme for uncertain minimax optimal control problems
- Infinite horizon stochastic optimal control problems with running maximum cost
This page was built for publication: Dynamic programming and error estimates for stochastic control problems with maximum cost
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2340992)
