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Title: Conversion of Certain Stochastic Control Problems into Deterministic Control Problems
A class of nonlinear, stochastic staticization control problems (including minimization problems with smooth, convex, coercive payoffs) driven by diffusion dynamics with constant diffusion coefficient is considered. A fundamental solution form is obtained where the same solution can be used for a limited variety of terminal costs without re-solution of the problem. One may convert this fundamental solution form from a stochastic control problem form to a deterministic control problem form. This yields an equivalence between certain second-order (in space) Hamilton-Jacobi partial differential equations (HJ PDEs) and associated first-order HJ PDEs. This reformulation has substantial numerical implications.  more » « less
Award ID(s):
1908918
NSF-PAR ID:
10171200
Author(s) / Creator(s):
;
Date Published:
Journal Name:
21st IFAC World Congress
Page Range / eLocation ID:
1-6
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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