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

DOI10.1016/J.CNSNS.2014.09.029zbMATH Open1334.93181OpenAlexW2058995376MaRDI QIDQ907595FDOQ907595

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

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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 (4)

• Small noise asymptotics for invariant densities for a class of diffusions: a control theoretic view
• The stochastic lake game: A numerical solution
• On the optimally controlled stochastic shallow lake
• Bifurcations of Optimal Vector Fields

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