Controlled Continuous Time Random Walks and fractional Hamilton Jacobi Bellman equations

V. Kolokoltsov; M. Veretennikova

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arXiv · 1203.6333

Controlled Continuous Time Random Walks and fractional Hamilton Jacobi Bellman equations

V. Kolokoltsov·M. Veretennikova

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Abstract

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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BibTeX RIS

V. Kolokoltsov, M. Veretennikova. 2012-04-04. Controlled Continuous Time Random Walks and fractional Hamilton Jacobi Bellman equations. https://arxiv.org/abs/1203.6333

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