Infinite horizon controlled diffusions with randomly varying and state-dependent discount cost rates

DOI10.1007/S10957-016-0898-XMaRDI QIDQ2359780zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 22 June 2017

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10957-016-0898-x

zbMATH Keywords

controlled diffusionHamilton-Jacobi-Bellman equationnumerical approximationrandom and state-dependent discount cost rateverification theorem

Mathematics Subject Classification ID

Diffusion processes (60J60) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cites work

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• Liquidation of a large block of stock with regime switching
• On uniqueness and existence of viscosity solutions of fully nonlinear second-order elliptic PDE's
• Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
• Optimal Discounted Stochastic Control for Diffusion Processes
• Viscosity Solutions of Hamilton-Jacobi Equations

Cited in

(5)

• Minimizing Infinite Time Horizon Discounted Cost with Mean, Variance, and Bounded Variation Controls
• Infinite horizon stochastic optimal control problems with running maximum cost
• Controlled Switching Diffusions Under Ambiguity: The Average Criterion
• Constrained optimality for controlled switching diffusions with an application to stock purchasing
• Regular and exploratory resource extraction models considering sustainability

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