Storage model with discontinuous holding cost

DOI10.1016/0304-4149(84)90301-6zbMath0561.93065OpenAlexW1983510324MaRDI QIDQ2266695

Michael I. Taksar

Publication date: 1984

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(84)90301-6

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstate constraintstorage modelone-dimensional optimal stochastic control problem

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Inventory, storage, reservoirs (90B05) Dynamic programming (90C39) Optimal stochastic control (93E20) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (2)

Singular ergodic control for multidimensional Gaussian processes ⋮ Optimal correction problem of a multidimensional stochastic system

Cites Work

• Unnamed Item
• The monotone follower problem in stochastic decision theory
• Nouvelles méthodes en contrôle impulsionnel
• Optimal control of a Brownian storage system
• Instantaneous Control of Brownian Motion
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
• Some solvable stochastic control problemst^†

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