Storage model with discontinuous holding cost (Q2266695): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/0304-4149(84)90301-6 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W1983510324 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some solvable stochastic control problemst<sup>†</sup> / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nouvelles méthodes en contrôle impulsionnel / rank
 
Normal rank
Property / cites work
 
Property / cites work: Instantaneous Control of Brownian Motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal control of a Brownian storage system / rank
 
Normal rank
Property / cites work
 
Property / cites work: The monotone follower problem in stochastic decision theory / rank
 
Normal rank
Property / cites work
 
Property / cites work: Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4151478 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers / rank
 
Normal rank

Latest revision as of 16:20, 14 June 2024

scientific article
Language Label Description Also known as
English
Storage model with discontinuous holding cost
scientific article

    Statements

    Storage model with discontinuous holding cost (English)
    0 references
    1984
    0 references
    The author considers and solves a one-dimensional optimal stochastic control problem with some state constraint (or equivalently some cost function which blows up on some interval). The problem is solved in details using the associated Hamilton-Jacobi-Bellman equation.
    0 references
    storage model
    0 references
    one-dimensional optimal stochastic control problem
    0 references
    state constraint
    0 references
    Hamilton-Jacobi-Bellman equation
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references