Stochastic control for a class of random evolution models

DOI10.1007/s00245-003-0786-2zbMath1056.60035OpenAlexW1976959455MaRDI QIDQ1879225

Max-Olivier Hongler, Halil Mete Soner, Ludwig Streit

Publication date: 22 September 2004

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://infoscience.epfl.ch/record/269489/files/245_2003_Article_786.pdf

zbMATH Keywords

stochastic optimal controllogarithmic transformationnonlinear field equationspiecewise deterministic evolution

Mathematics Subject Classification ID

Nonlinear systems in control theory (93C10) Stopping times; optimal stopping problems; gambling theory (60G40)

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Mean-field games and swarms dynamics in Gaussian and non-Gaussian environments ⋮ Refined second law of thermodynamics for fast random processes ⋮ Connection between an exactly solvable stochastic optimal control problem and a nonlinear reaction-diffusion equation

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