Optimal stopping of two-time scale Markovian systems: analysis, numerical methods, and applications

DOI10.1016/J.NAHS.2017.05.005zbMath1373.93390OpenAlexW2695328647MaRDI QIDQ1680823

Caojin Zhang, Qing Zhang, George Yin

Publication date: 16 November 2017

Published in: Nonlinear Analysis. Hybrid Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.nahs.2017.05.005

zbMATH Keywords

numerical methodoptimal stoppingreduction of dimensionalitytwo-time Markovian system

Mathematics Subject Classification ID

Stochastic programming (90C15) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Large-scale systems (93A15)

Related Items (2)

Hybrid optimal impulse control ⋮ Optimal switching under a hybrid diffusion model and applications to stock trading

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