On the Connection between the Hamilton-Jacobi-Bellman and the Fokker-Planck Control Frameworks
KAUST DepartmentApplied Mathematics and Computational Science Program
Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
Stochastic Numerics Research Group
Online Publication Date2014-09-02
Print Publication Date2014
Permanent link to this recordhttp://hdl.handle.net/10754/336769
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AbstractIn the framework of stochastic processes, the connection between the dynamic programming scheme given by the Hamilton-Jacobi-Bellman equation and a recently proposed control approach based on the Fokker-Planck equation is discussed. Under appropriate assumptions it is shown that the two strategies are equivalent in the case of expected cost functionals, while the FokkerPlanck formalism allows considering a larger class of objectives. To illustrate the connection between the two control strategies, the cases of an Itō stochastic process and of a piecewise-deterministic process are considered.
CitationOn the Connection between the Hamilton-Jacobi-Bellman and the Fokker-Planck Control Frameworks 2014, 05 (16):2476 Applied Mathematics
SponsorsSupported in part by the European Union under Grant Agreement “Multi-ITN STRIKE-Novel Methods in Computational Finance”. Fund Project No. 304617 Marie Curie Research Training Network.
PublisherScientific Research Publishing, Inc.
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