Optimal control with random parameters: a multiscale approach

DOI10.3166/EJC.17.30-45zbMATH Open1248.49038OpenAlexW2056733789MaRDI QIDQ431771FDOQ431771

Authors: Martino Bardi, Annalisa Cesaroni 

Publication date: 3 July 2012

Published in: European Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3166/ejc.17.30-45

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zbMATH Keywords

asymptotic approximationsingular perturbationsstochastic controlviscosity solutionsmultiscale problemsdeterministic controlsensitivity of control problemswell-posedness of control problems

Mathematics Subject Classification ID

Sensitivity, stability, well-posedness (49K40) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

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Cited In (16)

• Controlled diffusions in a random medium
• Large deviations for some fast stochastic volatility models by viscosity methods
• Approximation of Optimal Stopping Problems and Variational Inequalities Involving Multiple Scales in Economics and Finance
• Singular perturbations for a subelliptic operator
• A Fokker-Planck control framework for multidimensional stochastic processes
• Deep relaxation of controlled stochastic gradient descent via singular perturbations
• Singular limit of two-scale stochastic optimal control problems in infinite dimensions by vanishing noise regularization
• Liouville properties and critical value of fully nonlinear elliptic operators
• Title not available (Why is that?)
• Convergence in multiscale financial models with non-Gaussian stochastic volatility
• The generalized principal eigenvalue for Hamilton-Jacobi-Bellman equations of ergodic type
• Singular perturbations and optimal control of stochastic systems in infinite dimension: HJB equations and viscosity solutions
• Singular perturbations in stochastic optimal control with unbounded data
• On a limiting description of robust parallel control in a random environment
• Risk-neutral multiobjective optimal control of random Volterra integral equations
• An asymptotic analysis of controlled diffusions with rapidly oscillating parameters

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