Mayer and optimal stopping stochastic control problems with discontinuous cost
type: Item
instance of: scholarly article
title: Mayer and optimal stopping stochastic control problems with discontinuous cost
zbMATH Open document ID: 1215.93150
author: Dan Goreac
author: Oana Silvia Serea
published in: Journal of Mathematical Analysis and Applications
publication date: 2011-05-10T00:00:00Z
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 49L25
Mathematics Subject Classification ID: 49J40
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 49N15
zbMATH DE Number: 5886417
zbMATH Keywords: stochastic control
zbMATH Keywords: optimal stopping
zbMATH Keywords: HJB equations
zbMATH Keywords: HJB variational inequalities
zbMATH Keywords: discontinuous viscosity solution
zbMATH Keywords: occupational measures
MaRDI profile type: Publication
full work available at URL: j.jmaa.2011.02.039
OpenAlex ID: W2085242452
cites work: Q4199298
cites work: Q3953613
cites work: Q5560061
cites work: Stochastic optimal control and linear programming approach
cites work: On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
cites work: User’s guide to viscosity solutions of second order partial differential equations
cites work: Compactification methods in the control of degenerate diffusions: existence of an optimal control
cites work: Q4032143
cites work: Lower Semicontinuous Solutions of Hamilton–Jacobi–Bellman Equations
cites work: On a Representation of the Limit Occupational Measures Set of a Control System with Applications to Singularly Perturbed Control Systems
cites work: Linear Programming Approach to Deterministic Infinite Horizon Optimal Control Problems with Discounting
cites work: Discontinuous control problems for non-convex dynamics and near viability for singularly perturbed control systems
cites work: On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients
cites work: The problem of optimal control with reflection studied through a linear optimization problem stated on occupational measures
DOI: 10.1016/J.JMAA.2011.02.039
description: scientific article; zbMATH DE number 5886417