Optimal feedback controllers for a stochastic differential equation with reflection

DOI10.1137/19M1294423MaRDI QIDQ4959837zbMATH OpenOpenAlexWikidataFDO

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

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)

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Cites work

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• scientific article; zbMATH DE number 3302617 (Why is no real title available?)
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• Optimal control of nonlinear stochastic differential equations on Hilbert spaces
• Parabolic variational inequalities with singular inputs
• Stochastic differential equations with variable structure driven by multiplicative Gaussian noise and sliding mode dynamic
• Stochastic differential equations, backward SDEs, partial differential equations
• The Generator of the Transition Semigroup Corresponding to a Stochastic Variational Inequality
• The Neumann Problem on Unbounded Domains of ℝ^dand Stochastic Variational Inequalities
• User’s guide to viscosity solutions of second order partial differential equations

Cited in

(9)

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

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