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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

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Type
Document de travail / Working paper
Lien vers un document non conservé dans cette base
https://hal.archives-ouvertes.fr/hal-02425622
Date
2019
Titre de la collection
Cahier de recherche CEREMADE, Université Paris Dauphine-PSL
Ville d’édition
Paris
Pages
39
Métadonnées
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Auteur(s)
Wahbi, Isaac
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Résumé (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.
Mots-clés
stochastic control; junction