Infinite Horizon Stochastic Optimal Control Problems with Running Maximum Cost
2018
Publication type:
Paper in peer-reviewed journals
Journal:
SIAM J. Control Optim., vol. 56(5), pp. 3296--3319
DOI:
HAL:
Abstract:
An infinite horizon stochastic optimal control problem with running maximum cost is considered. The value function is characterized as the viscosity solution of a second-order Hamilton-Jacobi-Bellman (HJB) equation with mixed boundary condition. A general numerical scheme is proposed and convergence is established under the assumptions of consistency, monotonicity and stability of the scheme. These properties are verified for a specific semi-Lagrangian scheme.
BibTeX:
@article{Kro-Pic-Zid-2018,
author={Axel Kröner and Athena Picarelli and Hasnaa Zidani },
title={Infinite Horizon Stochastic Optimal Control Problems with
Running Maximum Cost },
doi={10.1137/17M115253X },
journal={SIAM J. Control Optim. },
year={2018 },
volume={56(5) },
pages={3296--3319},
}