On an asymptotic viscosity solution property of solutions of discrete Hamilton-Jacobi-Bellman equations

DOI10.1007/S40314-017-0549-3zbMath1401.93232OpenAlexW2775822674MaRDI QIDQ1993654

Naohiro Yoshida

Publication date: 5 November 2018

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

Full work available at URL: https://doi.org/10.1007/s40314-017-0549-3

zbMATH Keywords

viscosity solutiondiscrete Hamilton-Jacobi-Bellman equationHamilton-Jacobi-Bellman variational inequalitysingular stochastic control problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Cites Work

• Continuous-time stochastic control and optimization with financial applications
• A random walk analogue of Lévy’s Theorem
• Unnamed Item

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