The Deterministic and Stochastic Shallow Lake Problem

We study the welfare function of the deterministic and stochastic shallow lake problem. We show that the welfare function is the viscosity solution of the associated Bellman equation, we establish several properties including its asymptotic behaviour at infinity and we present a convergent monotone...

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Bibliographic Details
Published in:arXiv.org 2017-12
Main Authors: Kossioris, George T, Loulakis, Michail, Souganidis, Panagiotis E
Format: Article
Language:English
Subjects:
Asymptotic properties
Online Access:Get full text
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Summary:We study the welfare function of the deterministic and stochastic shallow lake problem. We show that the welfare function is the viscosity solution of the associated Bellman equation, we establish several properties including its asymptotic behaviour at infinity and we present a convergent monotone numerical scheme.
ISSN:2331-8422
DOI:10.48550/arxiv.1712.04210