Policy Iteration Algorithm for Singular Controlled Diffusion Processes

2013 ◽  
Vol 51 (5) ◽  
pp. 3844-3862 ◽  
Author(s):  
Yuan-Hua Ni ◽  
Hai-Tao Fang
Keyword(s):  
Diffusion Processes ◽  
Policy Iteration ◽  
Iteration Algorithm ◽  
Controlled Diffusion ◽  
Policy Iteration Algorithm ◽  
Controlled Diffusion Processes

On Krylov’s estimates for optional semimartingales

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
M. Abdelghani ◽  
A. Melnikov ◽  
A. Pak
Keyword(s):  
Sobolev Space ◽  
Measurable Function ◽  
Diffusion Processes ◽  
Stochastic Integrals ◽  
Controlled Diffusion ◽  
Convergence Of Solutions ◽  
Change Of Variables ◽  
General Class Of Functions ◽  
Class Of Functions ◽  
Controlled Diffusion Processes

Abstract The estimates of N. V. Krylov for distributions of stochastic integrals by means of the L d {L_{d}} -norm of a measurable function are well-known and are widely used in the theory of stochastic differential equations and controlled diffusion processes. We generalize estimates of this type for optional semimartingales, then apply these estimates to prove the change of variables formula for a general class of functions from the Sobolev space W d 2 {W^{2}_{d}} . We also show how to use these estimates for the investigation of L 2 {L^{2}} -convergence of solutions of optional SDE’s.

scholarly journals A policy iteration algorithm for nonzero-sum stochastic impulse games

2019 ◽  
Vol 65 ◽  
pp. 27-45
Author(s):  
René Aïd ◽  
Francisco Bernal ◽  
Mohamed Mnif ◽  
Diego Zabaljauregui ◽  
Jorge P. Zubelli
Keyword(s):  
Nash Equilibrium ◽  
Numerical Methods ◽  
Variational Inequalities ◽  
Convergence Analysis ◽  
Policy Iteration ◽  
Iteration Algorithm ◽  
Value Functions ◽  
Numerical Tests ◽  
Wide Range ◽  
Policy Iteration Algorithm

This work presents a novel policy iteration algorithm to tackle nonzero-sum stochastic impulse games arising naturally in many applications. Despite the obvious impact of solving such problems, there are no suitable numerical methods available, to the best of our knowledge. Our method relies on the recently introduced characterisation of the value functions and Nash equilibrium via a system of quasi-variational inequalities. While our algorithm is heuristic and we do not provide a convergence analysis, numerical tests show that it performs convincingly in a wide range of situations, including the only analytically solvable example available in the literature at the time of writing.

2 D amorphous frameworks of NiMoO4 for supercapacitors: defining the role of surface and bulk controlled diffusion processes

2015 ◽  
Vol 326 ◽  
pp. 39-47 ◽  
Author(s):  
Amrutha Ajay ◽  
Anjali Paravannoor ◽  
Jickson Joseph ◽  
Amruthalakshmi V ◽  
Anoop SS ◽  
...  
Keyword(s):  
Diffusion Processes ◽  
Controlled Diffusion ◽  
Controlled Diffusion Processes

Generalized Landauer equation: Absorption-controlled diffusion processes

1999 ◽  
Vol 59 (5) ◽  
pp. 6180-6183 ◽  
Author(s):  
Salvador Godoy ◽  
L. S. García-Colín ◽  
Victor Micenmacher
Keyword(s):  
Diffusion Processes ◽  
Controlled Diffusion ◽  
Controlled Diffusion Processes

scholarly journals Policy Iteration Algorithm for the Control of Oxygenation

2015 ◽  
Vol 48 (20) ◽  
pp. 517-522 ◽  
Author(s):  
Anake Pomprapa ◽  
Milod Mir Wais ◽  
Marian Walter ◽  
Berno J.E. Misgeld ◽  
Steffen Leonhardt
Keyword(s):  
Policy Iteration ◽  
Iteration Algorithm ◽  
Policy Iteration Algorithm
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