Max-plus stochastic processes
type: Item
instance of: scholarly article
title: Max-plus stochastic processes
zbMATH Open document ID: 1138.93379
published in: Applied Mathematics and Optimization
publication date: 2004-09-22T00:00:00Z
review text: This paper is concerned with processes which are max-plus counterparts of Markov diffusion processes governed by Itô sense stochastic differential equations. Concepts of max-plus martingale and max-plus stochastic differential equation are introduced. The max-plus counterparts of backward and forward PDEs for Markov diffusions turn out to be first-order PDEs of Hamilton-Jacobi-Bellman type. Max-plus additive integrals and a max-plus additive dynamic programming principle are considered. This leads to variational inequalities of Hamilton-Jacobi-Bellman type.
Mathematics Subject Classification ID: 93C65
Mathematics Subject Classification ID: 35R60
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 35F20
Mathematics Subject Classification ID: 49J40
zbMATH DE Number: 2101890
zbMATH Keywords: max-plus probability
zbMATH Keywords: max-plus additive functional
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: variational inequalities
author: Wendell Fleming
reviewed by: Makiko Nisio
MaRDI profile type: Publication
full work available at URL: s00245-003-0785-3
OpenAlex ID: W2015609726
DOI: 10.1007/S00245-003-0785-3
description: scientific article; zbMATH DE number 2101890