Infinite Horizon Stochastic Optimal Control Problems with Running Maximum Cost

submitted
Publication type:
Paper in peer-reviewed journals
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 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. A convergent semi-Lagrangian scheme is presented in detail.
BibTeX:
@article{Kro-Pic-Zid-2200,
    author={Axel Kröner and Athena Picarelli and Hasnaa Zidani },
    title={Infinite Horizon Stochastic Optimal Control Problems with 
           Running Maximum Cost },
    year={submitted },
}