Verification by Stochastic Perron's Method in stochastic exit time control problems
نویسندگان
چکیده
منابع مشابه
On the Continuity of Stochastic Exit Time Control Problems
We determine a weaker sufficient condition than that of Theorem 5.2.1 in Fleming and Soner (2006) for the continuity of the value functions of stochastic exit time control problems.
متن کاملA Method to Calculate the Exit Time in Stochastic Simulations
A novel method is presented to compute the exit time for the stochastic simulation algorithm. The method is based on the addition of a series of random variables and is derived using the convolution theorem. The final distribution is derived and approximated in the frequency domain. The distribution for the final time is transformed back to the real domain and can be sampled from in a simulatio...
متن کاملA Stochastic Galerkin Method for Stochastic Control Problems
In an interdisciplinary field on mathematics and physics, we examine a physical problem, fluid flow in porous media, which is represented by a stochastic partial differential equation (SPDE). We first give a priori error estimates for the solutions to an optimization problem constrained by the physical model under lower regularity assumptions than the literature. We then use the concept of Gale...
متن کاملPathwise Stochastic Control Problems and Stochastic
In this paper we study a class of pathwise stochastic control problems in which the optimality is allowed to depend on the paths of exogenous noise (or information). Such a phenomenon can be illustrated by considering a particular investor who wants to take advantage of certain extra information but in a completely legal manner. We show that such a control problem may not even have a “minimizin...
متن کاملVerification Theorems for Stochastic Optimal Control Problems via a Time Dependent Fukushima - Dirichlet Decomposition
Abstract. This paper is devoted to present a method of proving verification theorems for stochastic optimal control of finite dimensional diffusion processes without control in the diffusion term. The value function is assumed to be continuous in time and once differentiable in the space variable (C) instead of once differentiable in time and twice in space (C), like in the classical results. T...
متن کاملذخیره 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: Journal of Mathematical Analysis and Applications
سال: 2014
ISSN: 0022-247X
DOI: 10.1016/j.jmaa.2014.04.062