SIAM Journal on Control and Optimization, Vol.56, No.5, 3296-3319, 2018
INFINITE HORIZON STOCHASTIC OPTIMAL CONTROL PROBLEMS WITH RUNNING MAXIMUM COST
An infinite horizon stochastic optimal control problem with running maximum cost is considered. The value function is characterized as the viscosity solution of a second-order HamiltonJacobi-Bellman equation with mixed boundary condition. A general numerical scheme is proposed and convergence is established under the assumptions of consistency, monotonicity, and stability of the scheme. These properties are verified for a specific semi-Lagrangian scheme.
Keywords:stochastic optimal control;running maximum;semi-Lagrangian schemes;convergence;viscosity solutions;dynamic programming