Thumbnail

Compactification method for a stochastic control problem on a junction

Wahbi, Isaac (2019), Compactification method for a stochastic control problem on a junction. https://basepub.dauphine.fr/handle/123456789/20677

View/Open
Type
Document de travail / Working paper
External document link
https://hal.archives-ouvertes.fr/hal-02425622
Date
2019
Series title
Cahier de recherche CEREMADE, Université Paris Dauphine-PSL
Published in
Paris
Pages
39
Metadata
Show full item record
Author(s)
Wahbi, Isaac
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Abstract (EN)
The purpose of this article is to study a stochastic control problem on a junction, with control at the junction point. We prove the existence of a relaxed control, namely a control which takes values in the space of probability measures on a compact set. We prove the compactness of the admissible rules and the dynamic programming principle, adapting the results of [15] for this new kind of problem.
Subjects / Keywords
stochastic control; junction