The Deterministic and Stochastic Shallow Lake Problem

12 Dec 2017  ·  Kossioris George T., Loulakis Michail, Souganidis Panagiotis E. ·

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...

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Probability Classical Analysis and ODEs Optimization and Control