Singular perturbations in optimal control

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

Multiscale Singular Perturbations and Homogenization of Optimal Control Problems

The paper is devoted to singular perturbation problems with a finite number of scales where both the dynamics and the costs may oscillate. Under some coercivity assumptions on the Hamiltonian, we prove that the value functions converge locally uniformly to the solution of an effective Cauchy problem for a limit Hamilton-Jacobi equation and that the effective operators preserve several propertie...

متن کامل

Singular Perturbations in Ergodic Control of Diffusions

Ergodic control of a non-degenerate diffusion with two timescales is studied in the limiting case as the time-scale separation increases to infinity. It is shown that the limit problem is another ergodic control problem for the slow time-scale component alone with its dynamics averaged over the (controlled) invariant probability measures for the fast component. These measures in turn can be tre...

متن کامل

Singular Perturbations in Option Pricing

After the celebrated Black-Scholes formula for pricing call options under constant volatility, the need for more general nonconstant volatility models in financial mathematics has been the motivation of numerous works during the Eighties and Nineties. In particular, a lot of attention has been paid to stochastic volatility models where the volatility is randomly fluctuating driven by an additio...

متن کامل

Connections between Singular Control and Optimal Switching

This paper builds a new theoretical connection between singular control of finite variation and optimal switching problems. This correspondence provides a novel method for solving high-dimensional singular control problems, and enables us to extend the theory of reversible investment: sufficient conditions are derived for the existence of optimal controls and for the regularity of value functio...

متن کامل

Solving Singular Control from Optimal Switching

This report summarizes some of our recent work (Guo and Tomecek (2008b,a)) on a new theoretical connection between singular control of finite variation and optimal switching problems. This correspondence not only provides a novel method for analyzing multi-dimensional singular control problems, but also builds links among singular controls, Dynkin games, and sequential optimal stopping problems.

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: Rocky Mountain Journal of Mathematics

سال: 1976

ISSN: 0035-7596

DOI: 10.1216/rmj-1976-6-4-767