The Deterministic and Stochastic Shallow Lake Problem
Probability
2019-10-03 v1 Classical Analysis and ODEs
Optimization and Control
Abstract
We study the welfare function of the deterministic and stochastic shallow lake problem. We show that the welfare function is the viscosity solution of the associated Bellman equation, we establish several properties including its asymptotic behaviour at infinity and we present a convergent monotone numerical scheme.
Cite
@article{arxiv.1712.04210,
title = {The Deterministic and Stochastic Shallow Lake Problem},
author = {George T. Kossioris and Michail Loulakis and Panagiotis E. Souganidis},
journal= {arXiv preprint arXiv:1712.04210},
year = {2019}
}
Comments
18 pages