BSDEs with Singular Terminal Condition and a Control Problem with Constraints
โ Scribed by Ankirchner, Stefan; Jeanblanc, Monique; Kruse, Thomas
- Book ID
- 125518448
- Publisher
- Society for Industrial and Applied Mathematics
- Year
- 2014
- Tongue
- English
- Weight
- 308 KB
- Volume
- 52
- Category
- Article
- ISSN
- 0363-0129
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๐ SIMILAR VOLUMES
This paper considers a linear-nonquadratic optimal control problem subject to nonlinear terminal inequality constraints. We approximate it by a series of approximate problems via the penalty method. It is shown that the optimal control functions of the approximate problems uniformly converge to the
A computational algorithm for a class of time-lag optimal control problems involving control and terminal inequality constraints is presented. The convergence properties of the algorithm are also investigated. To test the algorithm, several examples are solved. KEY WORDS Non-linear time-lag system L