Time‐average stochastic control based on a singular local Lévy model for environmental project planning under habit formation
DOI10.1002/MMA.9140zbMATH Open1529.49016OpenAlexW4323363544MaRDI QIDQ6143573FDOQ6143573
Authors: Hidekazu Yoshioka, Motoh Tsujimura, Kunihiko Hamagami, Haruka Tomobe 
Publication date: 5 January 2024
Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/mma.9140
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finite difference methodstochastic optimal controlratchetinghabit formation(non-)ergodic time-average controlsediment replenishment
Processes with independent increments; Lévy processes (60G51) Optimality conditions for problems involving randomness (49K45) Finite difference methods for boundary value problems involving PDEs (65N06) Optimal stochastic control (93E20) Jump processes on general state spaces (60J76)
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