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dc.contributor.author
Aragone, Laura Susana  
dc.contributor.author
Mancinelli, Elina Mafalda  
dc.date.available
2017-04-11T20:57:31Z  
dc.date.issued
2010-04  
dc.identifier.citation
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  
dc.identifier.issn
1201-3390  
dc.identifier.uri
http://hdl.handle.net/11336/15186  
dc.description.abstract
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.  
dc.format
application/pdf  
dc.language.iso
eng  
dc.publisher
University of Waterloo  
dc.rights
info:eu-repo/semantics/openAccess  
dc.rights.uri
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/  
dc.subject
Singular Control  
dc.subject
Hjb Equations  
dc.subject
Viscosity Solutions  
dc.subject
Numerical Methods  
dc.subject.classification
Otras Matemáticas  
dc.subject.classification
Matemáticas  
dc.subject.classification
CIENCIAS NATURALES Y EXACTAS  
dc.title
A procedure to solve a singular stochastic optimal control problem  
dc.type
info:eu-repo/semantics/article  
dc.type
info:ar-repo/semantics/artículo  
dc.type
info:eu-repo/semantics/publishedVersion  
dc.date.updated
2017-04-11T17:42:26Z  
dc.identifier.eissn
1918-2538  
dc.journal.volume
17  
dc.journal.number
1a  
dc.journal.pagination
1-18  
dc.journal.pais
Canadá  
dc.journal.ciudad
Ontario  
dc.description.fil
Fil: Aragone, Laura Susana. Universidad Nacional de Rosario. Facultad de Ciencias Exactas, Ingeniería y Agrimensura; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina  
dc.description.fil
Fil: Mancinelli, Elina Mafalda. Universidad Nacional de San Luis. Facultad de Ciencias Fisico- Matematicas y Naturales; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina  
dc.journal.title
Dynamics Of Continuous Discrete And Impulsive Systems  
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/url/http://online.watsci.org/contents2010/v17n1a.html  

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