| Autor: |
Lauriere M., Li Z., Mertz L., Wylie J., Zuo S. |
| Jazyk: |
angličtina |
| Rok vydání: |
2019 |
| Předmět: |
|
| Zdroj: |
ESAIM: Proceedings and Surveys, Vol 65, Pp 425-444 (2019) |
| Druh dokumentu: |
article |
| ISSN: |
2267-3059 |
| DOI: |
10.1051/proc/201965425 |
| Popis: |
We consider the optimal stopping and optimal control problems related to stochastic variational inequalities modeling elasto-plastic oscillators subject to random forcing. We formally derive the corresponding free boundary value problems and Hamilton-Jacobi-Bellman equations which belong to a class of nonlinear partial of differential equations with nonlocal Dirichlet boundary conditions. Then, we focus on solving numerically these equations by employing a combination of Howard’s algorithm and the numerical approach [A backward Kolmogorov equation approach to compute means, moments and correlations of non-smooth stochastic dynamical systems; Mertz, Stadler, Wylie; 2017] for this type of boundary conditions. Numerical experiments are given. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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