A characterization of the reflected quasipotential

DOI10.1007/s00245-014-9286-9zbMath1332.49031OpenAlexW1979382582MaRDI QIDQ901246

Martin V. Day, Kasie G. Farlow

Publication date: 23 December 2015

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-014-9286-9

zbMATH Keywords

dynamic programmingHamilton-Jacobi equationqueueing theoryreflected Brownian motionlarge deviation rate functionreflected quasipotentialSkorokhod map

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Queueing theory (aspects of probability theory) (60K25) Brownian motion (60J65) Large deviations (60F10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (2)

Splitting Algorithms for Rare Events of Semimartingale Reflecting Brownian Motions ⋮ Optimal Paths in Large Deviations of Symmetric Reflected Brownian Motion in the Octant

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Exit time and invariant measure asymptotics for small noise constrained diffusions
• Weak KAM aspects of convex Hamilton-Jacobi equations with Neumann type boundary conditions
• Fully nonlinear oblique derivative problems for nonlinear second-order elliptic PDE's
• Neumann type boundary conditions for Hamilton-Jacobi equations
• On oblique derivative problems for fully nonlinear second-order elliptic PDE's on domains with corners
• Large deviations of the steady-state distribution of reflected processes with applications to queueing systems
• Nonlinear Neumann boundary conditions for quasilinear degenerate elliptic equations and applications
• Fully nonlinear Neumann type boundary conditions for second-order elliptic and parabolic equations
• Robust optimal service analysis of single-server re-entrant queues
• A time-reversed representation for the tail probabilities of stationary reflected Brownian motion.
• A differential game with constrained dynamics and viscosity solutions of a related HJB equation
• SDEs with oblique reflection on nonsmooth domains
• Perturbed Dynamical Systems with an Attracting Singularity and Weak Viscosity Limits in Hamilton-Jacobi Equations
• A Uniqueness Result for p-Monotone Viscosity Solutions of Hamilton–Jacobi Equations in Bounded Domains
• On oblique derivative problems for fully nonlinear second-order elliptic partial differential equations on nonsmooth domains
• Fully nonlinear Neumann type boundary conditions for first-order Hamilton–Jacobi equations
• User’s guide to viscosity solutions of second order partial differential equations
• ON SMALL RANDOM PERTURBATIONS OF DYNAMICAL SYSTEMS
• Small Random perturbation of dynamical systems with reflecting boundary
• Simple Necessary and Sufficient Conditions for the Stability of Constrained Processes
• Boundary value problems for first order Hamilton-Jacobi equations
• On the exponential exit law in the small parameter exit problem
• $\mathcal{H}_\infty $ Control of Nonlinear Systems: Differential Games and Viscosity Solutions
• Convex Analysis
• Some Problems Concerning Stability under Small Random Perturbations
• An Escape-Time Criterion for Queueing Networks: Asymptotic Risk-Sensitive Control via Differential Games
• On lipschitz continuity of the solution mapping to the skorokhod problem, with applications
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
• Explicit solutions for variational problems in the quadrant

This page was built for publication: A characterization of the reflected quasipotential