Max-plus stochastic processes

DOI10.1007/s00245-003-0785-3zbMath1138.93379OpenAlexW2015609726MaRDI QIDQ1879228

Wendell H. Fleming

Publication date: 22 September 2004

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

Full work available at URL: https://doi.org/10.1007/s00245-003-0785-3

zbMATH Keywords

variational inequalitiesstochastic differential equationsmax-plus additive functionalmax-plus probability

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Discrete event control/observation systems (93C65) Nonlinear first-order PDEs (35F20) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (6)

Ergodic type Bellman equations of first order with quadratic Hamiltonian ⋮ Max-plus summation of Fenchel-transformed semigroups for solution of nonlinear Bellman equations ⋮ min-max spaces and complexity reduction in min-max expansions ⋮ Representation of maxitive measures: An overview ⋮ Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance ⋮ Max-plus stochastic control and risk-sensitivity

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