Singular optimal control by minimizer flows
Sign Up to like & getrecommendations! Published in 2018 at "European Journal of Control"
DOI: 10.1016/j.ejcon.2018.03.001
Abstract: Abstract This paper studies a computational method to deal with a singular optimal control problem by minimizer flows in a viscosity approximation to the Hamilton–Jacobi–Bellman equation. The boundary of the compact constraint set of control… read more here.
Keywords: singular optimal; control; minimizer; control minimizer ... See more keywords
Singular optimal controls for stochastic recursive systems under convex control constraint
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Mathematical Analysis and Applications"
DOI: 10.1016/j.jmaa.2020.124905
Abstract: Abstract In this paper, we study two kinds of singular optimal controls (SOCs for short) problems where the systems governed by forward-backward stochastic differential equations (FBSDEs for short), in which the control has two components:… read more here.
Keywords: singular optimal; stochastic recursive; control; optimal controls ... See more keywords