Mayer and optimal stopping stochastic control problems with discontinuous cost

DOI10.1016/j.jmaa.2011.02.039zbMath1215.93150MaRDI QIDQ534752

Oana-Silvia Serea, Dan Goreac

Publication date: 10 May 2011

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2011.02.039

zbMATH Keywords

optimal stopping; stochastic control; HJB equations; occupational measures; discontinuous viscosity solution; HJB variational inequalities

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

49J40: Variational inequalities

93E20: Optimal stochastic control

49N15: Duality theory (optimization)

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

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Min–max control problems via occupational measures, Optimality issues for a class of controlled singularly perturbed stochastic systems, Error estimates for second order Hamilton-Jacobi-Bellman equations. Approximation of probabilistic reachable sets, Abel-type results for controlled piecewise deterministic Markov processes, Existence of asymptotic values for nonexpansive stochastic control systems, On the LP formulation in measure spaces of optimal control problems for jump-diffusions, Some applications of linear programming formulations in stochastic control, Discontinuous control problems with state constraints: linear formulations and dynamic programming principles, Linearization techniques for controlled piecewise deterministic Markov processes; application to Zubov's method, Characterization of the optimal trajectories for the averaged dynamics associated to singularly perturbed control systems

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