Back to Search
Start Over
Infinite Horizon Controlled Diffusions with Randomly Varying and State-Dependent Discount Cost Rates.
- Source :
-
Journal of Optimization Theory & Applications . Feb2017, Vol. 172 Issue 2, p535-553. 19p. - Publication Year :
- 2017
-
Abstract
- This work focuses on optimal controls of diffusions in an infinite horizon. It has several distinct features in contrast to the existing literature. The discount factor is allowed to be randomly varying and state dependent. The existence and uniqueness of the viscosity solution to the associated Hamilton-Jacobi-Bellman equation are established. The verification theorem is also obtained. Because closed-form solutions are virtually impossible to obtain in most cases, we develop numerical methods. Using the Markov chain approximation methods, numerical schemes are constructed; viscosity solution methods are used to prove the convergence of the algorithm. In addition, examples are given for demonstration purpose. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00223239
- Volume :
- 172
- Issue :
- 2
- Database :
- Academic Search Index
- Journal :
- Journal of Optimization Theory & Applications
- Publication Type :
- Academic Journal
- Accession number :
- 121083758
- Full Text :
- https://doi.org/10.1007/s10957-016-0898-x