HJB and Fokker-Planck equations for river environmental management based on stochastic impulse control with discrete and random observation
From MaRDI portal
Publication:2034924
DOI10.1016/j.camwa.2021.05.015OpenAlexW3083595497MaRDI QIDQ2034924
Motoh Tsujimura, Kunihiko Hamagami, Yuta Yaegashi, Hidekazu Yoshioka, Yumi Yoshioka
Publication date: 23 June 2021
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2009.00184
Hamilton-Jacobi-Bellman equationFokker-Planck equationfinite difference schemesemi-Lagrangian schemejump processsediment-algae management problem
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Ecology (92D40)
Related Items (6)
Hamilton-Jacobi-Bellman-Isaacs equation for rational inattention in the long-run management of river environments under uncertainty ⋮ Designing cost-efficient inspection schemes for stochastic streamflow environment using an effective Hamiltonian approach ⋮ Analytical and numerical solutions to ergodic control problems arising in environmental management ⋮ Modeling and computation of cost-constrained adaptive environmental management with discrete observation and intervention ⋮ A non-local Fokker-Planck equation with application to probabilistic evaluation of sediment replenishment projects ⋮ Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge
Cites Work
- Unnamed Item
- On classical and restricted impulse stochastic control for the exchange rate
- On Lagrangian schemes for porous medium type generalized diffusion equations: a discrete energetic variational approach
- A unifying formulation of the Fokker-Planck-Kolmogorov equation for general stochastic hybrid systems
- Beach nourishment as a dynamic capital accumulation problem
- Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps
- Critical thresholds for eventual extinction in randomly disturbed population growth models
- Poissonian potential measures for Lévy risk models
- The Fokker-Planck equation. Methods of solutions and applications.
- Impulse control with random reaction periods: a central bank intervention problem
- Fokker-Planck equation driven by asymmetric Lévy motion
- A simple, high-order and compact WENO limiter for RKDG method
- Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance
- Analysis and computation of a discrete costly observation model for growth estimation and management of biological resources
- A semi-Lagrangian method for the weather options of mean-reverting Brownian motion with jump-diffusion
- Generalized local and nonlocal master equations for some stochastic processes
- Random fluctuations around a stable limit cycle in a stochastic system with parametric forcing
- A Markov-modulated jump-diffusion risk model with randomized observation periods and threshold dividend strategy
- Asymptotic behaviors of stochastic epidemic models with jump-diffusion
- Numerical analysis and applications of Fokker-Planck equations for stochastic dynamical systems with multiplicative \(\alpha \)-stable noises
- Law of large numbers and central limit theorem for a class of pure jump Markov process
- The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing
- Optimal decision model and solution for carbon sequestration by afforestation
- Quantitative analysis of cancer risk assessment in a mammalian cell with the inclusion of mitochondria
- Pricing the financial Heston-Hull-White model with arbitrary correlation factors via an adaptive FDM
- Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization
- Fokker-Planck equations of jumping particles and mean field games of impulse control
- The moving mesh semi-Lagrangian MMSISL method
- An Euler-Maruyama method for diffusion equations with discontinuous coefficients and a family of interface conditions
- Exponential decay of Rényi divergence under Fokker-Planck equations
- Analysis and computation of an optimality equation arising in an impulse control problem with discrete and costly observations
- Fluctuations of Lévy processes with applications. Introductory lectures
- A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation
- Analysis and computation of probability density functions for a 1-D impulsively controlled diffusion process
- Some control problems with random intervention times
- Recent Developments in Numerical Methods for Fully Nonlinear Second Order Partial Differential Equations
- A High-Order Semi-Lagrangian/Finite Volume Scheme for Hamilton-Jacobi-Isaacs Equations
- A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES
- Optimal dividend-payout in random discrete time
- Marcus versus Stratonovich for systems with jump noise
- A simplified stochastic optimization model for logistic dynamics with control-dependent carrying capacity
- Numerical analysis of strongly nonlinear PDEs
- Robust stochastic control modeling of dam discharge to suppress overgrowth of downstream harmful algae
- Sequential testing of a Wiener process with costly observations
- Financial Modelling with Jump Processes
- A hybrid stochastic river environmental restoration modeling with discrete and costly observations
- Modeling stochastic operation of reservoir under ambiguity with an emphasis on river management
- Passive portfolio management over a finite horizon with a target liquidation value under transaction costs and solvency constraints
- A Weighted Essentially Nonoscillatory, Large Time-Step Scheme for Hamilton--Jacobi Equations
- Convergent Difference Schemes for Degenerate Elliptic and Parabolic Equations: Hamilton--Jacobi Equations and Free Boundary Problems
- Stochastic resetting and applications
- Applied stochastic control of jump diffusions
This page was built for publication: HJB and Fokker-Planck equations for river environmental management based on stochastic impulse control with discrete and random observation
