A Constrained Markovian Diffusion Model for Controlling the Pollution Accumulation

Beatris Adriana Escobedo-Trujillo, José Daniel López-Barrientos and Javier Garrido-Meléndez
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Beatris Adriana Escobedo-Trujillo: Facultad de Ingeniería, Universidad Veracruzana, Xalapa de Enriquez 91090, Mexico
José Daniel López-Barrientos: Facultad de Ciencias Actuariales, Universidad Anáhuac México, Naucalpan de Juárez 52786, Mexico
Javier Garrido-Meléndez: Facultad de Ingeniería, Universidad Veracruzana, Xalapa de Enriquez 91090, Mexico

Mathematics, 2021, vol. 9, issue 13, 1-29

Abstract: This work presents a study of a finite-time horizon stochastic control problem with restrictions on both the reward and the cost functions. To this end, it uses standard dynamic programming techniques, and an extension of the classic Lagrange multipliers approach. The coefficients considered here are supposed to be unbounded, and the obtained strategies are of non-stationary closed-loop type. The driving thread of the paper is a sequence of examples on a pollution accumulation model, which is used for the purpose of showing three algorithms for the purpose of replicating the results. There, the reader can find a result on the interchangeability of limits in a Dirichlet problem.

Keywords: dynamic programming; lagrange multipliers; numeric approximation (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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