Controlled Continuous Time Random Walks and fractional Hamilton Jacobi Bellman equations

2012/03/28 by Vassili N. Kolokoltsov, V. Kolokoltsov, Kolokoltsov, V. +3
Mathematics · Physics and Astronomy · #Advanced Thermodynamics and Statistical Mechanics #Fractional Differential Equations Solutions #Statistical Mechanics and Entropy #math.OC #msc:49J20

paper · pdf · doi:10.48550/arxiv.1203.6333

19 pages

arxiv created 2012/04/04 · arxiv updated 2012/04/05

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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