Small-noise asymptotics of Hamilton-Jacobi-Bellman equations and bifurcations of stochastic optimal control problems
DOI10.1016/j.cnsns.2014.09.029zbMath1334.93181OpenAlexW2058995376MaRDI QIDQ907595
Tatiana Kiseleva, Dieter Grass, Florian O. O. Wagener
Publication date: 26 January 2016
Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cnsns.2014.09.029
stochastic optimal controlregime shiftsbifurcationsstochastic Hamilton-Jacobi-Bellman equationsmall-noise asymptotics
Perturbations in control/observation systems (93C73) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Hamilton-Jacobi theories (49L99) Existence of optimal solutions to problems involving randomness (49J55)
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