Reducing a nonlinear dynamic programming equation to a kolomogorov equation

DOI10.1080/02331939708844355MaRDI QIDQ4372872zbMATH OpenOpenAlexFDO

Authors Mario Lefebvre

Publication date 5 May 1998

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331939708844355

zbMATH Keywords

Brownian motionoptimal stochastic controlRiccati equationrisk-sensitivity

Mathematics Subject Classification ID

Existence theories for optimal control problems involving ordinary differential equations (49J15) Optimal stochastic control (93E20)

Recommendations

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• Computing exact nonlinear reductions of dynamical models
• Linearization of a dynamic programming equation
• On a Reduction Process for Nonlinear Equations
• On the reducibility of nonlinear differential equations
• Solving a system of the nonlinear equations by iterative dynamic programming
• Reduction of nonlinear PDEs to linear equations

Cites work

• scientific article; zbMATH DE number 3889341 (Why is no real title available?)
• scientific article; zbMATH DE number 48691 (Why is no real title available?)
• Commande optimale du processus de wiener
• Forcing a stochastic process to stay in or to leave a given region
• Optimal control of an Ornstein-Uhlenbeck process
• The risk-sensitive homing problem

Cited in

(5)

• Exact solutions to two-dimensional homing problems
• Breaking the Kolmogorov Barrier with Nonlinear Model Reduction
• A homing problem for diffusion processes with control-dependent variance.
• A different class of homing problems
• Exact solutions to the homing problem for a Wiener process with jumps

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