Journal Articles SIAM Journal on Control and Optimization Year : 2018

Infinite Horizon Stochastic Optimal Control Problems with Running Maximum Cost

Abstract

An infinite horizon stochastic optimal control problem with running maximum cost is considered. The value function is characterized as the viscosity solution of a second-order Hamilton-Jacobi-Bellman (HJB) equation with mixed boundary condition. A general numerical scheme is proposed and convergence is established under the assumptions of consistency, monotonicity and stability of the scheme. These properties are verified for a specific semi-Lagrangian scheme.
Fichier principal
Vignette du fichier
main.pdf (1) Télécharger le fichier
Origin Files produced by the author(s)
Loading...

Dates and versions

hal-01585766 , version 1 (12-09-2017)
hal-01585766 , version 2 (17-10-2017)
hal-01585766 , version 3 (25-09-2018)

Identifiers

Cite

Axel Kröner, Athena Picarelli, Hasnaa Zidani. Infinite Horizon Stochastic Optimal Control Problems with Running Maximum Cost. SIAM Journal on Control and Optimization, 2018, 56 (5), pp.3296-3319. ⟨10.1137/17M115253X⟩. ⟨hal-01585766v3⟩
981 View
1220 Download

Altmetric

Share

More