Convergence of Markov chain approximation on generalized HJB equation and its applications
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Publication:2440656
DOI10.1016/J.AUTOMATICA.2007.07.014zbMATH Open1283.93319OpenAlexW2046624619MaRDI QIDQ2440656FDOQ2440656
Authors: Yanyan Li 
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
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- scientific article; zbMATH DE number 2059639
Differential games (aspects of game theory) (91A23) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)
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Cited In (21)
- Mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model
- Numerical Approximations for Stochastic Differential Games
- Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance
- CPDO with finite termination: maximal return under cash-in and cash-out conditions
- On the convergence of an approximation scheme for the viscosity solutions of the Bellman equation arising in a stochastic optimal control problem
- Minimization of carbon abatement cost: modeling, analysis and simulation
- Convergence rates of Markov chain approximation methods for controlled diffusions with stopping
- Title not available (Why is that?)
- A sparse Markov chain approximation of LQ-type stochastic control problems.
- Convergence of the optimal feedback policies in a numerical method for a class of deterministic optimal control problems
- Discounted continuous-time controlled Markov chains: convergence of control models
- Optimal control algorithm of constrained fuzzy system integrating sliding mode control and model predictive control
- Optimal active lifetime investment
- Saddle points of discrete Markov zero-sum game with stopping
- Stabilization of a class of nonlinear control systems via a neural network scheme with convergence analysis
- Markov chain approximation for Hamilton-Jacobi-Bellman equation with absorbing boundary
- Optimal dividends for regulated insurers with a nonlinear penalty
- Proof of the convergence of the successive approximation algorithm for numerically solving the Hamilton-Jacobi-Bellman equation
- Consistency of Generalized Finite Difference Schemes for the Stochastic HJB Equation
- Nonlinear Parabolic Equations Arising in Mathematical Finance
- Stochastic optimization for multispecies fisheries in the barents sea
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