Zubov’s method for controlled diffusions with state constraints

نویسندگان
چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Stochastic Perron’s method for optimal control problems with state constraints

We apply the stochastic Perron method of Bayraktar and Sîrbu to a general infinite horizon optimal control problem, where the state X is a controlled diffusion process, and the state constraint is described by a closed set. We prove that the value function v is bounded from below (resp., from above) by a viscosity supersolution (resp., subsolution) of the related state constrained problem for t...

متن کامل

A chebyshev polynomial method for optimal control with state constraints

Abstrsct--This paper presents a numerical technique for solving non-linear constrained optimal control problems. The method extends previous contributions to non-linear unconstrained optimal control problems and is based upon a Chebyshev series expansion of state and control. The differential and integral expressions from the system dynamics and the performance index, the boundary conditions an...

متن کامل

Davies’ Method for Anomalous Diffusions

Davies’ method of perturbed semigroups is a classical technique to obtain off-diagonal upper bounds on the heat kernel. However Davies’ method does not apply to anomalous diffusions due to the singularity of energy measures. In this note, we overcome the difficulty by modifying the Davies’ perturbation method to obtain sub-Gaussian upper bounds on the heat kernel. Our computations closely follo...

متن کامل

Finite-dimensional representations for controlled diffusions with delay

We study stochastic delay differential equations (SDDE) where the coefficients depend on the moving averages of the state process. As a first contribution, we provide sufficient conditions under which the solution of the SDDE and a linear path functional of it admit a finite-dimensional Markovian representation. As a second contribution, we show how approximate finite-dimensional Markovian repr...

متن کامل

Hjb Equations for Certain Singularly Controlled Diffusions

over the admissible controls U . Both g and κ · u (u ∈ U) may take positive and negative values. This paper studies the corresponding dynamic programming equation (DPE), a second-order degenerate elliptic partial differential equation of HJB-type with a state constraint boundary condition. Under the controllability condition GU = R and the finiteness of H(q) = supu∈U1{−Gu · q− κ · u}, q ∈ R , w...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Nonlinear Differential Equations and Applications NoDEA

سال: 2015

ISSN: 1021-9722,1420-9004

DOI: 10.1007/s00030-015-0343-0