Published March 2004
| Version v1
Journal article
Max-Plus Stochastic Processes
Creators
- 1. Division of Applied Mathematics and Lefschetz Center for DynamicalSystems, Brown University, Providence, RI 02912 (United States)
Description
This paper is concerned with processes which are max-plus counterparts of Markov diffusion processes governed by Ito sense stochastic differential equations. Concepts of max-plus martingale and max-plus stochastic differential equation are introduced. The max-plus counterparts of backward and forward PDEs for Markov diffusions turn out to be first-order PDEs of Hamilton-Jacobi-Bellman type. Max-plus additive integrals and a max-plus additive dynamic programming principle are considered. This leads to variational inequalities of Hamilton-Jacobi-Bellman type
Additional details
Identifiers
Publishing Information
- Journal Title
- Applied Mathematics and Optimization
- Journal Volume
- 49
- Journal Issue
- 2
- Journal Page Range
- p. 159-181
- ISSN
- 0095-4616
INIS
- Country of Publication
- United States
- Country of Input or Organization
- International Atomic Energy Agency (IAEA)
- INIS RN
- 39081528
- Subject category
- S71: CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS;
- Descriptors DEI
- DIFFUSION; DYNAMIC PROGRAMMING; HAMILTON-JACOBI EQUATIONS; INTEGRALS; MARKOV PROCESS
- Descriptors DEC
- CALCULATION METHODS; DIFFERENTIAL EQUATIONS; EQUATIONS; PARTIAL DIFFERENTIAL EQUATIONS; STOCHASTIC PROCESSES
Optional Information
- Copyright
- Copyright (c) 2004 Springer-Verlag
- Notes
- www.springer-ny.com