Convergence of Markov chain approximation on generalized HJB equation and its applications
From MaRDI portal
Publication:2440656
DOI10.1016/j.automatica.2007.07.014zbMath1283.93319MaRDI QIDQ2440656
Publication date: 19 March 2014
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2007.07.014
91A23: Differential games (aspects of game theory)
93E20: Optimal stochastic control
49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games
Related Items
Nonlinear Parabolic Equations Arising in Mathematical Finance, Discounted Continuous-Time Controlled Markov Chains: Convergence of Control Models, CPDO WITH FINITE TERMINATION: MAXIMAL RETURN UNDER CASH-IN AND CASH-OUT CONDITIONS, Optimal active lifetime investment, Optimal dividends for regulated insurers with a nonlinear penalty, A sparse Markov chain approximation of LQ-type stochastic control problems., Stabilization of a class of nonlinear control systems via a neural network scheme with convergence analysis, Optimal control algorithm of constrained fuzzy system integrating sliding mode control and model predictive control, Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance, Mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model, Minimization of carbon abatement cost: modeling, analysis and simulation, Saddle points of discrete Markov zero-sum game with stopping
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions
- \(H^ \infty\) - optimal control and related minimax design problems. A dynamic game approach
- Controlled Markov processes and viscosity solutions
- User’s guide to viscosity solutions of second order partial differential equations
- Numerical Approximations for Stochastic Differential Games
- Discrete-Time Markov Chains
- Numerical Solutions for Stochastic Differential Games With Regime Switching
- The existence of value in differential games
- Numerical Methods for Stochastic Control Problems in Continuous Time