Mayer and optimal stopping stochastic control problems with discontinuous cost
DOI10.1016/J.JMAA.2011.02.039zbMATH Open1215.93150OpenAlexW2085242452MaRDI QIDQ534752FDOQ534752
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
optimal stoppingstochastic controlHJB equationsoccupational measuresdiscontinuous viscosity solutionHJB variational inequalities
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20) Duality theory (optimization) (49N15)
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Cited In (16)
- 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
- Existence of asymptotic values for nonexpansive stochastic control systems
- On the LP formulation in measure spaces of optimal control problems for jump-diffusions
- Optimal stability results and nonlinear duality for \(L^\infty\) entropy and \(L^1\) viscosity solutions
- Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspects
- SIR epidemics with state-dependent costs and ICU constraints: a Hamilton-Jacobi verification argument and dual LP algorithms
- Linearization techniques for controlled piecewise deterministic Markov processes; application to Zubov's method
- Computable Primal and Dual Bounds for Stochastic Control
- Some applications of linear programming formulations in stochastic control
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- Discontinuous control problems with state constraints: linear formulations and dynamic programming principles
- Existence and uniqueness of viscosity solutions for nonlinear variational inequalities associated with mixed control
- Abel-type results for controlled piecewise deterministic Markov processes
- Characterization of the optimal trajectories for the averaged dynamics associated to singularly perturbed control systems
- Min–max control problems via occupational measures
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