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A fractional Hamilton Jacobi Bellman equation for scaled limits of controlled Continuous Time Random Walks
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Kolokoltsov, V. N. (Vasiliĭ Nikitich) and Veretennikova, Maria A. (2014) A fractional Hamilton Jacobi Bellman equation for scaled limits of controlled Continuous Time Random Walks. Communications in Applied and Industrial Mathematics, 6 (1). doi:10.1685/journal.caim.484 ISSN 2038-0909.
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Official URL: http://dx.doi.org/10.1685/journal.caim.484
Abstract
In the article we study a controlled Continuous Time Random Walk and their position-dependent extensions. We heuristically derive the optimal payoff function equations for their scaling limits. The general equation for the corresponding optimal payoff of the limiting process may be called a fractional Hamilton Jacobi Bellman equation.
Item Type: | Journal Article | ||||||||
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Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||||||
Journal or Publication Title: | Communications in Applied and Industrial Mathematics | ||||||||
Publisher: | Societa Italiana di Matematica Applicata e Industriale (S I M A I) | ||||||||
ISSN: | 2038-0909 | ||||||||
Official Date: | 30 October 2014 | ||||||||
Dates: |
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Volume: | 6 | ||||||||
Number: | 1 | ||||||||
DOI: | 10.1685/journal.caim.484 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Access rights to Published version: | Open Access (Creative Commons) |
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