التفاصيل البيبلوغرافية
| العنوان: |
MARKOV CHAIN APPROXIMATION FOR HAMILTON--JACOBI--BELLMAN EQUATION WITH ABSORBING BOUNDARY. |
| المؤلفون: |
ITSUKI WATANABE1 itsukiwatanabe@aoni.waseda.jp |
| المصدر: |
SIAM Journal on Control & Optimization. 2024, Vol. 62 Issue 2, p1152-1164. 13p. |
| مصطلحات موضوعية: |
*MARKOV processes, HAMILTON-Jacobi equations, HAMILTON-Jacobi-Bellman equation, VISCOSITY solutions, EQUATIONS, JUMP processes |
| مستخلص: |
We consider the infinite horizon optimal control problems of the controlled Markov process. We verify the relationship between the controlled Markov process and its fluid limit by the viscosity solution approach. More precisely, we show that the value function of the controlled Markov process converges to one of its limit processes which is the viscosity solution of the associated Hamilton--Jacobi--Bellman equation. [ABSTRACT FROM AUTHOR] |
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| قاعدة البيانات: |
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