A numerical method for solving singular stochastic control problems

Operations Research

Volumn 52, Issue 4, 2004, Pages

  Kumar, Sunil ^a   Muthuraman, Kumar ^b  

^a STANFORD UNIVERSITY   (United States)

^b SCHOOL OF INDUSTRIAL ENGINEERING   (United States)

Author keywords

Dynamic programming optimal control: singular stochastic control, HJB equations, numerical methods; Economics: investments under uncertainty; Probability: diffusions; Queueing: scheduling, Brownian approximations

Indexed keywords

BROWNIAN APPROXIMATIONS; HJB EQUATIONS; SINGULAR STOCHASTIC CONTROL; VALUE FUNCTIONS;

APPROXIMATION THEORY; DYNAMIC PROGRAMMING; INVESTMENTS; OPTIMAL CONTROL SYSTEMS; PROBABILITY; PROBLEM SOLVING;

RANDOM PROCESSES;

EID: 19444380785     PISSN: 0030364X     EISSN: None     Source Type: Journal    
DOI: 10.1287/opre.1030.0107     Document Type: Article

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