Controlled Continuous Time Random Walks and fractional Hamilton Jacobi Bellman equations

Details Controlled Continuous Time Random Walks and fractional Hamilton Jacobi Bellman equations Controlled Continuous Time Random Walks and fractional Hamilton Jacobi Bellman equations

2012-03-28

arxiv.org/abs/1203.6333v2

Mathematics

Optimization and Control

19 pages

Scientific paper

In this paper we study controlled continuous time random walks (CTRWs) and
heuristically derive pay-off function dynamic programming (DP) equations which
turn in the limit of standard scaling to fractional Hamilton Jacobi Bellman
type equations. This paper aims to extend results from [1] in a controlled
setting.

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