paper

Controlled Continuous Time Random Walks and fractional Hamilton Jacobi Bellman equations

arXiv:1203.6333

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.

19 pages

References in corpus (1)

Controlled Continuous Time Random Walks and fractional Hamilton Jacobi Bellman equations · wovepaper