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A fractional Hamilton Jacobi Bellman equation for scaled limits of controlled Continuous Time Random Walksстатья
- Авторы: Kolokoltsov V.N., Veretennikova M.A.
- Журнал: COMMUNICATIONS IN APPLIED AND INDUSTRIAL MATHEMATICS
- Том: 6
- Номер: 1
- Год издания: 2015
- DOI: 10.1685/journal.caim.484
- Аннотация: In the article we study a controlled Continuous Time Random Walk and their position-dependent extensions. We heuristically derive the optimal payo function equa- tions for their scaling limits. The general equation for the corresponding optimal payo of the limiting process may be called a fractional Hamilton Jacobi Bellman equation. This paper is an improved version of the preprint [1].
- Добавил в систему: Колокольцов Василий Никитич