Regular finite fuel stochastic control problems with exit time

DOI10.1007/S00186-016-0536-2zbMATH Open1347.93271arXiv1501.07437OpenAlexW1535069543MaRDI QIDQ328524FDOQ328524

Authors: D. B. Rokhlin, Georgii Mironenko 

Publication date: 20 October 2016

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Abstract: We consider a class of exit time stochastic control problems for diffusion processes with discounted criterion, where the controller can utilize a given amount of resource, called "fuel". In contrast to the vast majority of existing literature, concerning the "finite fuel" problems, it is assumed that the intensity of fuel consumption is bounded. We characterize the value function of the optimization problem as the unique continuous viscosity solution of the Dirichlet boundary value problem for the correspondent Hamilton-Jacobi-Bellman (HJB) equation. Our assumptions concern the HJB equations, related to the problems with infinite fuel and without fuel. Also, we present computer experiments, for the problems of optimal regulation and optimal tracking of a simple stochastic system with the stable or unstable equilibrium point.

Full work available at URL: https://arxiv.org/abs/1501.07437

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zbMATH Keywords

viscosity solutionexit timefinite fueloptimal correctionoptimal trackingregular finite fuel stochastic control problem

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Applications of optimal control and differential games (49N90) Optimal stochastic control (93E20)

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• Optimal Control under a Dynamic Fuel Constraint
• Finite Fuel Problem in Nonlinear Singular Stochastic Control
• Probabilistic aspects of finite-fuel stochastic control
• A bang-bang strategy for a finite fuel stochastic control problem
• A Finite Fuel Stochastic Control Problem on a Finite Time Horizon

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