Optimal Control Under Uncertainty and Bayesian Parameters Adjustments

DOI10.1137/16M1070815zbMath1386.49039arXiv1604.06340WikidataQ130120392 ScholiaQ130120392MaRDI QIDQ4608239

Ngoc Minh Dang, Nicolas Baradel, Bruno Bouchard

Publication date: 16 March 2018

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

Full work available at URL: https://arxiv.org/abs/1604.06340

zbMATH Keywords

uncertaintyBayesian filteringoptimal impulse control problem

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (3)

Classical and restricted impulse control for the exchange rate under a stochastic trend model ⋮ Optimal inventory management and order book modeling ⋮ Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view

Cites Work

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• Stochastic optimal control. The discrete time case
• Adaptive Markov control processes
• An Introduction to the Theory of Viscosity Solutions for First-Order Hamilton–Jacobi Equations and Applications
• Weak Dynamic Programming Principle for Viscosity Solutions
• A stochastic target formulation for optimal switching problems in finite horizon
• Controlling a Stochastic Process with Unknown Parameters
• User’s guide to viscosity solutions of second order partial differential equations

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