TY - JOUR
T1 - A constrained markovian diffusion model for controlling the pollution accumulation
AU - Escobedo-Trujillo, Beatris Adriana
AU - López-Barrientos, José Daniel
AU - Garrido-Meléndez, Javier
N1 - Publisher Copyright:
© 2021 by the authors. Licensee MDPI, Basel, Switzerland.
PY - 2021/7/1
Y1 - 2021/7/1
N2 - This work presents a study of a finite-time horizon stochastic control problem with restric-tions on both the reward and the cost functions. To this end, it uses standard dynamic programming techniques, and an extension of the classic Lagrange multipliers approach. The coefficients considered here are supposed to be unbounded, and the obtained strategies are of non-stationary closed-loop type. The driving thread of the paper is a sequence of examples on a pollution accumulation model, which is used for the purpose of showing three algorithms for the purpose of replicating the results. There, the reader can find a result on the interchangeability of limits in a Dirichlet problem.
AB - This work presents a study of a finite-time horizon stochastic control problem with restric-tions on both the reward and the cost functions. To this end, it uses standard dynamic programming techniques, and an extension of the classic Lagrange multipliers approach. The coefficients considered here are supposed to be unbounded, and the obtained strategies are of non-stationary closed-loop type. The driving thread of the paper is a sequence of examples on a pollution accumulation model, which is used for the purpose of showing three algorithms for the purpose of replicating the results. There, the reader can find a result on the interchangeability of limits in a Dirichlet problem.
KW - Dynamic programming
KW - Lagrange multipliers
KW - Numeric approximation
UR - http://www.scopus.com/inward/record.url?scp=85109101048&partnerID=8YFLogxK
U2 - 10.3390/math9131466
DO - 10.3390/math9131466
M3 - Artículo
AN - SCOPUS:85109101048
SN - 2227-7390
VL - 9
JO - Mathematics
JF - Mathematics
IS - 13
M1 - 1466
ER -