Time‐average stochastic control based on a singular local Lévy model for environmental project planning under habit formation
DOI10.1002/mma.9140zbMath1529.49016OpenAlexW4323363544MaRDI QIDQ6143573
Kunihiko Hamagami, Haruka Tomobe, Motoh Tsujimura, Hidekazu Yoshioka
Publication date: 5 January 2024
Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/mma.9140
finite difference methodstochastic optimal controlratchetinghabit formation(non-)ergodic time-average controlsediment replenishment
Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Finite difference methods for boundary value problems involving PDEs (65N06) Optimality conditions for problems involving randomness (49K45) Jump processes on general state spaces (60J76)
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