Infinite Horizon Stochastic Optimal Control Problems with Running Maximum Cost

DOI10.1137/17M115253XzbMath1400.49027OpenAlexW2766347619WikidataQ129206505 ScholiaQ129206505MaRDI QIDQ4684783

Axel Kröner, Hasnaa Zidani, Athena Picarelli

Publication date: 25 September 2018

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

Full work available at URL: https://doi.org/10.1137/17m115253x

zbMATH Keywords

convergencedynamic programmingstochastic optimal controlsemi-Lagrangian schemesviscosity solutionsrunning maximum

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Existence theories for optimal control problems involving partial differential equations (49J20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimality conditions for problems involving randomness (49K45)

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