Optimal feedback controllers for a stochastic differential equation with reflection

DOI10.1137/19M1294423zbMATH Open1441.49032OpenAlexW3014802190WikidataQ115246908 ScholiaQ115246908MaRDI QIDQ4959837FDOQ4959837

Authors: Viorel Barbu 

Publication date: 7 April 2020

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/19m1294423

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zbMATH Keywords

sensitivitystabilityvariational inequalitiesmonotone operatorsordinary differential operatorsnonlinear operators

Mathematics Subject Classification ID

Sensitivity, stability, parametric optimization (90C31) Variational inequalities (49J40) General theory of ordinary differential operators (47E05) Duality theory (optimization) (49N15) Optimal feedback synthesis (49N35)

Cites Work

• User’s guide to viscosity solutions of second order partial differential equations
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• Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control
• An introduction to infinite-dimensional analysis
• ON REGULARITY OF TRANSITION PROBABILITIES AND INVARIANT MEASURES OF SINGULAR DIFFUSIONS UNDER MINIMAL CONDITIONS
• Convexity and optimization in Banach spaces.
• Multivalued Skorohod problem
• Parabolic variational inequalities with singular inputs
• Stochastic differential equations, backward SDEs, partial differential equations
• Stochastic differential equations with variable structure driven by multiplicative Gaussian noise and sliding mode dynamic
• The Generator of the Transition Semigroup Corresponding to a Stochastic Variational Inequality
• The Neumann Problem on Unbounded Domains of ℝ^dand Stochastic Variational Inequalities
• Optimal control of nonlinear stochastic differential equations on Hilbert spaces

Cited In (9)

• Optimal control of nonlinear stochastic differential equations on Hilbert spaces
• Optimal control for stochastic differential equations and related Kolmogorov equations
• Feedback optimal controllers for the Heston model
• A stochastic optimal control problem with feedback inputs
• Technical Note—On the Optimality of Reflection Control
• Optimal control of stochastic differential equations via Fokker-Planck equations
• Existence of Optimal Control for Nonlinear Fokker–Planck Equations in \(\boldsymbol{L^1(\mathbb{R}^d)}\).
• Stochastic Feedback Control With One-Dimensional Degenerate Diffusions and Nonsmooth Value Functions
• Optimal stochastic control with recursive cost functionals of stochastic differential systems reflected in a domain

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