Optimal control of conditioned processes with feedback controls

DOI10.1016/j.matpur.2020.07.014zbMath1459.93188arXiv1912.08738OpenAlexW3044140158MaRDI QIDQ2656193

Mathieu Laurière, Pierre-Louis Lions, Yves Achdou

Publication date: 10 March 2021

Published in: Journal de Mathématiques Pures et Appliquées. Neuvième Série (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.08738

zbMATH Keywords

optimality conditionsnumerical simulationsoptimal control driven by eigenvalue problemoptimal control of conditioned process

Mathematics Subject Classification ID

Optimality conditions for problems involving partial differential equations (49K20) Feedback control (93B52) Eigenvalue problems (93B60) Optimal stochastic control (93E20)

Related Items (4)

Rates of convergence for the policy iteration method for mean field games systems ⋮ Optimal control of stochastic differential equations via Fokker-Planck equations ⋮ Policy iteration method for time-dependent mean field games systems with non-separable Hamiltonians ⋮ Quasistationary distributions and ergodic control problems

Uses Software

• UMFPACK
• ARPACK

Cites Work

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