Stochastic Control of Tidal Dynamics Equation with Lévy Noise

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Authors

External Organisational units

  • Brown University
  • Indian Institute of Science Education and Research (IISER) Thiruvananthapuram

Abstract

In this work we first present the existence, uniqueness and regularity of the strong solution of the tidal dynamics model perturbed by Lévy noise. Monotonicity arguments have been exploited in the proofs. We then formulate a martingale problem of Stroock and Varadhan associated to an initial value control problem and establish existence of optimal controls.

Details

Original languageEnglish
Pages (from-to)327-396
Number of pages70
JournalApplied Mathematics and Optimization
Volume79.2019
Issue number2
Early online date13 Jul 2017
DOIs
Publication statusPublished - 1 Apr 2019
Externally publishedYes