Controlled one dimensional diffusions with switching costs - average cost criterion
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Publication:1251388
DOI10.1016/0304-4149(78)90009-1zbMath0391.49020OpenAlexW1981562128MaRDI QIDQ1251388
Publication date: 1978
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4149(78)90009-1
Brownian motion (60J65) Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45)
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Cites Work
- Two-mode control of Brownian motion with quadratic loss and switching costs
- Sensitive discount optimality in controlled one-dimensional diffusions
- Single person controlled diffusions with discounted costs
- A diffusion model for the control of a dam
- A continuous time inventory model
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