Optimal control with random parameters: a multiscale approach
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Publication:431771
DOI10.3166/ejc.17.30-45zbMath1248.49038OpenAlexW2056733789MaRDI QIDQ431771
Annalisa Cesaroni, Martino Bardi
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
stochastic controlsingular perturbationsasymptotic approximationviscosity solutionsmultiscale problemsdeterministic controlsensitivity of control problemswell-posedness of control problems
Sensitivity, stability, well-posedness (49K40) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)
Related Items (9)
Liouville properties and critical value of fully nonlinear elliptic operators ⋮ Singular Limit of Two-Scale Stochastic Optimal Control Problems in Infinite Dimensions by Vanishing Noise Regularization ⋮ Singular perturbations in stochastic optimal control with unbounded data ⋮ Approximation of Optimal Stopping Problems and Variational Inequalities Involving Multiple Scales in Economics and Finance ⋮ Singular perturbations for a subelliptic operator ⋮ Convergence in multiscale financial models with non-Gaussian stochastic volatility ⋮ Singular perturbations and optimal control of stochastic systems in infinite dimension: HJB equations and viscosity solutions ⋮ The generalized principal eigenvalue for Hamilton-Jacobi-Bellman equations of ergodic type ⋮ Large deviations for some fast stochastic volatility models by viscosity methods
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