Dual stochastic descriptions of streamflow dynamics under model ambiguity through a Markovian embedding

Dual stochastic descriptions of streamflow dynamics under model ambiguity through a Markovian embedding

Abstract Hamilton–Jacobi–Bellman equation (HJBE) and backward stochastic differential equation (BSDE) are the two faces of stochastic control. We explore their equivalence focusing on a system of self-exciting and affine stochastic differential equations (SDEs) arising in streamflow dynamics. Our SD...

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Bibliographic Details
Main Authors: Hidekazu Yoshioka, Yumi Yoshioka
Format: Article
Language:English
Published: SpringerOpen 2023-07-01
Series:Journal of Mathematics in Industry
Subjects:
Stochastic processes
Non-Markovian processes
Hamilton–Jacobi–Bellman equation
Backward stochastic differential equation
Numerical Markovian embedding
Streamflow management
Online Access:https://doi.org/10.1186/s13362-023-00135-4

Internet

https://doi.org/10.1186/s13362-023-00135-4

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