Max-Plus Stochastic Processes
Journal Article
·
· Applied Mathematics and Optimization
This paper is concerned with processes which are max-plus counterparts of Markov diffusion processes governed by Ito sense stochastic differential equations. Concepts of max-plus martingale and max-plus stochastic differential equation are introduced. The max-plus counterparts of backward and forward PDEs for Markov diffusions turn out to be first-order PDEs of Hamilton-Jacobi-Bellman type. Max-plus additive integrals and a max-plus additive dynamic programming principle are considered. This leads to variational inequalities of Hamilton-Jacobi-Bellman type.
- OSTI ID:
- 21067459
- Journal Information:
- Applied Mathematics and Optimization, Journal Name: Applied Mathematics and Optimization Journal Issue: 2 Vol. 49; ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
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