Idempotent Expansions for Continuous-Time Stochastic Control

DOI10.1137/140971038zbMath1348.49022OpenAlexW2286782551MaRDI QIDQ3462518

Hidehiro Kaise, William M. McEneaney

Publication date: 15 January 2016

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/0477f2edfaa2375d20ec6b09db2368a1d63aec42

zbMATH Keywords

dynamic programmingstochastic controlviscosity solutionstime-discretizationmin-plus algebraHamilton-Jacobi-Bellman PDEsidempotent methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Stochastic programming (90C15) Nonlinear systems in control theory (93C10) Dynamic programming (90C39) Optimal stochastic control (93E20) Nonlinear higher-order PDEs (35G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Discrete approximations in optimal control (49M25) Existence of optimal solutions to problems involving randomness (49J55) Viscosity solutions to PDEs (35D40)

Related Items (5)

Convergence of discrete-time deterministic games to path-dependent Isaacs partial differential equations under quadratic growth conditions ⋮ Second-Order Hamilton–Jacobi PDE Problems and Certain Related First-Order Problems, Part 1: Approximation ⋮ An approximation scheme for stochastic controls in continuous time ⋮ Minimization interchange theorem on posets ⋮ On quadratic approximations for Hamilton-Jacobi-Bellman equations

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