Compactification method for a stochastic control problem on a junction

hal.structure.identifier	CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.author	Wahbi, Isaac	*
dc.date.accessioned	2020-04-29T11:39:22Z
dc.date.available	2020-04-29T11:39:22Z
dc.date.issued	2019
dc.identifier.uri	https://basepub.dauphine.fr/handle/123456789/20677
dc.language.iso	en	en
dc.subject	stochastic control
dc.subject	junction
dc.subject.ddc	515	en
dc.title	Compactification method for a stochastic control problem on a junction
dc.type	Document de travail / Working paper
dc.description.abstracten	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.
dc.publisher.city	Paris	en
dc.identifier.citationpages	39
dc.relation.ispartofseriestitle	Cahier de recherche CEREMADE, Université Paris Dauphine-PSL
dc.identifier.urlsite	https://hal.archives-ouvertes.fr/hal-02425622
dc.subject.ddclabel	Analyse	en
dc.description.ssrncandidate	non
dc.description.halcandidate	non
dc.description.readership	recherche
dc.description.audience	International
dc.date.updated	2020-07-08T12:57:53Z
hal.author.function	aut

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