HJB and Fokker-Planck equations for river environmental management based on stochastic impulse control with discrete and random observation

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

zbMATH Keywords

Hamilton-Jacobi-Bellman equationFokker-Planck equationfinite difference schemesemi-Lagrangian schemejump processsediment-algae management problem

Mathematics Subject Classification ID

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

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