Free boundary value problems and hjb equations for the stochastic optimal control of elasto-plastic oscillators
We consider the optimal stopping and optimal control problems related to stochastic variational inequalities modeling elasto-plastic oscillators subject to random forcing. We formally derive the corresponding free boundary value problems and Hamilton-Jacobi-Bellman equations which belong to a class...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2019-01-01
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| Series: | ESAIM: Proceedings and Surveys |
| Online Access: | https://www.esaim-proc.org/articles/proc/pdf/2019/01/proc196518.pdf |