Artículo
A procedure to solve a singular stochastic optimal control problem
Fecha de publicación:
04/2010
Editorial:
University of Waterloo
Revista:
Dynamics Of Continuous Discrete And Impulsive Systems
ISSN:
1201-3390
e-ISSN:
1918-2538
Idioma:
Inglés
Tipo de recurso:
Artículo publicado
Clasificación temática:
Resumen
In this work we deal with a singular stochastic optimal control problem. We present a theoretical iterative method which converges to the analytical solution and we also present a discretization procedure to obtain an approximated solution. We establish the convergence of the discrete solution to the value function and give an example of application with the numerical results.
Palabras clave:
Singular Control
,
Hjb Equations
,
Viscosity Solutions
,
Numerical Methods
Archivos asociados
Tamaño:
225.0Kb
Formato:
PDF
Licencia
Excepto donde se diga explícitamente, este item se publica bajo la siguiente descripción:
Creative Commons Attribution-NonCommercial-ShareAlike 2.5 Unported (CC BY-NC-SA 2.5)
Identificadores
Colecciones
Articulos(CIFASIS)
Articulos de CENTRO INT.FRANCO ARG.D/CS D/L/INF.Y SISTEM.
Articulos de CENTRO INT.FRANCO ARG.D/CS D/L/INF.Y SISTEM.
Citación
Aragone, Laura Susana; Mancinelli, Elina Mafalda; A procedure to solve a singular stochastic optimal control problem; University of Waterloo; Dynamics Of Continuous Discrete And Impulsive Systems; 17; 1a; 4-2010; 1-18
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