A procedure to solve a singular stochastic optimal control problem

Autores
Aragone, Laura Susana; Mancinelli, Elina Mafalda
Año de publicación
2010
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
In this work we deal with a singular stochastic optimal control problem. We present a theoretical iterative method which converges to the analytical solution and we also present a discretization procedure to obtain an approximated solution. We establish the convergence of the discrete solution to the value function and give an example of application with the numerical results.
Fil: Aragone, Laura Susana. Universidad Nacional de Rosario. Facultad de Ciencias Exactas, Ingeniería y Agrimensura; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Fil: Mancinelli, Elina Mafalda. Universidad Nacional de San Luis. Facultad de Ciencias Fisico- Matematicas y Naturales; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Materia
Singular Control
Hjb Equations
Viscosity Solutions
Numerical Methods
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/15186
Acceder
id CONICETDig_576deae505eba68c7de46f3d3ff09288
oai_identifier_str oai:ri.conicet.gov.ar:11336/15186
network_acronym_str CONICETDig
repository_id_str 3498
network_name_str CONICET Digital (CONICET)
spelling A procedure to solve a singular stochastic optimal control problemAragone, Laura SusanaMancinelli, Elina MafaldaSingular ControlHjb EquationsViscosity SolutionsNumerical Methodshttps://purl.org/becyt/ford/1.1https://purl.org/becyt/ford/1In this work we deal with a singular stochastic optimal control problem. We present a theoretical iterative method which converges to the analytical solution and we also present a discretization procedure to obtain an approximated solution. We establish the convergence of the discrete solution to the value function and give an example of application with the numerical results.Fil: Aragone, Laura Susana. Universidad Nacional de Rosario. Facultad de Ciencias Exactas, Ingeniería y Agrimensura; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaFil: Mancinelli, Elina Mafalda. Universidad Nacional de San Luis. Facultad de Ciencias Fisico- Matematicas y Naturales; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaUniversity of Waterloo2010-04info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/15186Aragone, Laura Susana; Mancinelli, Elina Mafalda; A procedure to solve a singular stochastic optimal control problem; University of Waterloo; Dynamics Of Continuous Discrete And Impulsive Systems; 17; 1a; 4-2010; 1-181201-33901918-2538enginfo:eu-repo/semantics/altIdentifier/url/http://online.watsci.org/contents2010/v17n1a.htmlinfo:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-11-12T09:51:34Zoai:ri.conicet.gov.ar:11336/15186instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-11-12 09:51:34.459CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv A procedure to solve a singular stochastic optimal control problem
title A procedure to solve a singular stochastic optimal control problem
spellingShingle A procedure to solve a singular stochastic optimal control problem
Aragone, Laura Susana
Singular Control
Hjb Equations
Viscosity Solutions
Numerical Methods
title_short A procedure to solve a singular stochastic optimal control problem
title_full A procedure to solve a singular stochastic optimal control problem
title_fullStr A procedure to solve a singular stochastic optimal control problem
title_full_unstemmed A procedure to solve a singular stochastic optimal control problem
title_sort A procedure to solve a singular stochastic optimal control problem
dc.creator.none.fl_str_mv Aragone, Laura Susana
Mancinelli, Elina Mafalda
author Aragone, Laura Susana
author_facet Aragone, Laura Susana
Mancinelli, Elina Mafalda
author_role author
author2 Mancinelli, Elina Mafalda
author2_role author
dc.subject.none.fl_str_mv Singular Control
Hjb Equations
Viscosity Solutions
Numerical Methods
topic Singular Control
Hjb Equations
Viscosity Solutions
Numerical Methods
purl_subject.fl_str_mv https://purl.org/becyt/ford/1.1
https://purl.org/becyt/ford/1
dc.description.none.fl_txt_mv In this work we deal with a singular stochastic optimal control problem. We present a theoretical iterative method which converges to the analytical solution and we also present a discretization procedure to obtain an approximated solution. We establish the convergence of the discrete solution to the value function and give an example of application with the numerical results.
Fil: Aragone, Laura Susana. Universidad Nacional de Rosario. Facultad de Ciencias Exactas, Ingeniería y Agrimensura; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Fil: Mancinelli, Elina Mafalda. Universidad Nacional de San Luis. Facultad de Ciencias Fisico- Matematicas y Naturales; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
description In this work we deal with a singular stochastic optimal control problem. We present a theoretical iterative method which converges to the analytical solution and we also present a discretization procedure to obtain an approximated solution. We establish the convergence of the discrete solution to the value function and give an example of application with the numerical results.
publishDate 2010
dc.date.none.fl_str_mv 2010-04
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/15186
Aragone, Laura Susana; Mancinelli, Elina Mafalda; A procedure to solve a singular stochastic optimal control problem; University of Waterloo; Dynamics Of Continuous Discrete And Impulsive Systems; 17; 1a; 4-2010; 1-18
1201-3390
1918-2538
url http://hdl.handle.net/11336/15186
identifier_str_mv Aragone, Laura Susana; Mancinelli, Elina Mafalda; A procedure to solve a singular stochastic optimal control problem; University of Waterloo; Dynamics Of Continuous Discrete And Impulsive Systems; 17; 1a; 4-2010; 1-18
1201-3390
1918-2538
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/url/http://online.watsci.org/contents2010/v17n1a.html
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv University of Waterloo
publisher.none.fl_str_mv University of Waterloo
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
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score 12.976206

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