Linear PDEs and eigenvalue problems corresponding to ergodic stochastic optimization problems on compact manifolds

DOI10.1088/1742-5468/2016/01/013206zbMath1457.49020arXiv1303.0126OpenAlexW2963583888MaRDI QIDQ3302438

Joris Bierkens, Michael Chertkov, Vladimir Y. Chernyak, Hilbert J. Kappen

Publication date: 11 August 2020

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.0126

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimality conditions for problems involving randomness (49K45)

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Cites Work

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