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  1. Applied Mathematics and Optimization
  2. Applied Mathematics and Optimization : Volume 49
  3. Applied Mathematics and Optimization : Volume 49, Issue 2, April 2004
  4. Max-plus stochastic processes
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Applied Mathematics and Optimization : Volume 75
Applied Mathematics and Optimization : Volume 74
Applied Mathematics and Optimization : Volume 73
Applied Mathematics and Optimization : Volume 72
Applied Mathematics and Optimization : Volume 71
Applied Mathematics and Optimization : Volume 70
Applied Mathematics and Optimization : Volume 69
Applied Mathematics and Optimization : Volume 68
Applied Mathematics and Optimization : Volume 67
Applied Mathematics and Optimization : Volume 66
Applied Mathematics and Optimization : Volume 65
Applied Mathematics and Optimization : Volume 64
Applied Mathematics and Optimization : Volume 63
Applied Mathematics and Optimization : Volume 62
Applied Mathematics and Optimization : Volume 61
Applied Mathematics and Optimization : Volume 60
Applied Mathematics and Optimization : Volume 59
Applied Mathematics and Optimization : Volume 58
Applied Mathematics and Optimization : Volume 57
Applied Mathematics and Optimization : Volume 56
Applied Mathematics and Optimization : Volume 55
Applied Mathematics and Optimization : Volume 54
Applied Mathematics and Optimization : Volume 53
Applied Mathematics and Optimization : Volume 52
Applied Mathematics and Optimization : Volume 51
Applied Mathematics and Optimization : Volume 50
Applied Mathematics and Optimization : Volume 49
Applied Mathematics and Optimization : Volume 49, Issue 1, December 2004
Applied Mathematics and Optimization : Volume 49, Issue 3, May 2004
Applied Mathematics and Optimization : Volume 49, Issue 2, April 2004
Stochastic control with exit time and constraints, application to small time attainability of sets
Stochastic Control with Exit Time and Constraints, Application to Small Time Attainability of Sets
Stochastic control for a class of random evolution models
Stochastic Control for a Class of Random Evolution Models
Optimality conditions in differentiable vector optimization via second-order tangent sets
Optimality Conditions in Differentiable Vector Optimization via Second-Order Tangent Sets
Dirichlet boundary control of hyperbolic equations in the presence of state constraints
Dirichlet Boundary Control of Hyperbolic Equations in the Presence of State Constraints
Max-plus stochastic processes
Max-Plus Stochastic Processes
Shape optimization for semi-linear elliptic equations based on an embedding domain method
Shape Optimization for Semi-Linear Elliptic Equations Based on an Embedding Domain Method
Applied Mathematics and Optimization : Volume 48
Applied Mathematics and Optimization : Volume 47
Applied Mathematics and Optimization : Volume 46
Applied Mathematics and Optimization : Volume 45
Applied Mathematics and Optimization : Volume 44
Applied Mathematics and Optimization : Volume 43
Applied Mathematics and Optimization : Volume 42
Applied Mathematics and Optimization : Volume 41
Applied Mathematics and Optimization : Volume 40
Applied Mathematics and Optimization : Volume 39
Applied Mathematics and Optimization : Volume 38
Applied Mathematics and Optimization : Volume 37
Applied Mathematics and Optimization : Volume 36
Applied Mathematics and Optimization : Volume 35

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Max-plus stochastic processes

Content Provider Springer Nature Link
Author Fleming, Wendell H.
Copyright Year 2004
Abstract This paper is concerned with processes which are max-plus counter-parts 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.
Ending Page 181
Page Count 23
Starting Page 159
File Format PDF
ISSN 00954616
e-ISSN 14320606
Journal Applied Mathematics and Optimization
Issue Number 2
Volume Number 49
Language English
Publisher Springer-Verlag
Publisher Date 2004-01-01
Publisher Place New York
Access Restriction One Nation One Subscription (ONOS)
Subject Keyword Numerical and Computational Methods Stochastic differential equations Max-plus probability Systems Theory, Control Mathematical and Computational Physics Max-plus additive functionals Nonlinear first-order equations Optimization Mathematical Methods in Physics Optimal stochastic control Stochastic ordinary differential equations Calculus of Variations and Optimal Control Variational inequalities
Content Type Text
Resource Type Article
Subject Applied Mathematics Control and Optimization
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