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 (3)
- Generalized Continuous-Time Random Walks (CTRW), Subordination by Hitting Times and Fractional Dynamics
- Mittag-Leffler Waiting Time, Power Laws,Rarefaction, Continuous Time Random Walk, Diffusion Limit
- Game theoretic analysis of incomplete markets: emergence of probabilities, nonlinear and fractional Black-Scholes equations