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Compactification method for a stochastic control problem on a junction

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ArticleControl.pdf (436.9Kb)
Date
2019
Publisher city
Paris
Collection title
Cahier de recherche CEREMADE, Université Paris Dauphine-PSL
Link to item file
https://hal.archives-ouvertes.fr/hal-02425622
Dewey
Analyse
Sujet
stochastic control; junction
URI
https://basepub.dauphine.fr/handle/123456789/20677
Collections
  • CEREMADE : Publications
Metadata
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Author
Wahbi, Isaac
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Type
Document de travail / Working paper
Item number of pages
39
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.

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