Dynamic programming and error estimates for stochastic control problems with maximum cost
DOI10.1007/S00245-014-9255-3zbMATH Open1311.93086OpenAlexW2016107460MaRDI QIDQ2340992FDOQ2340992
Athena Picarelli, Hasnaa Zidani, Olivier Bokanowski
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
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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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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
- An Approximation Scheme for Semilinear Parabolic PDEs with Convex and Coercive Hamiltonians
- 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
- State-constrained stochastic optimal control problems via reachability approach
- Zubov's method for controlled diffusions with state constraints
- Infinite Horizon Stochastic Optimal Control Problems with Running Maximum Cost
- Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains
- 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
- Optimal Tracking Portfolio with a Ratcheting Capital Benchmark
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