Small-noise asymptotics of Hamilton-Jacobi-Bellman equations and bifurcations of stochastic optimal control problems

DOI10.1016/J.CNSNS.2014.09.029MaRDI QIDQ907595zbMATHOpenAlexFDO

Authors Dieter Grass, Tatiana Kiseleva, Florian Wagener

Publication date 26 January 2016

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cnsns.2014.09.029

zbMATH Keywords

bifurcationsstochastic optimal controlregime shiftsstochastic Hamilton-Jacobi-Bellman equationsmall-noise asymptotics

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Existence of optimal solutions to problems involving randomness (49J55) Hamilton-Jacobi theories (49L99) Perturbations in control/observation systems (93C73) Optimal stochastic control (93E20)

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Cited in

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• Bifurcations of Optimal Vector Fields
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• On the optimally controlled stochastic shallow lake

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