Storage model with discontinuous holding cost (Q2266695)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Storage model with discontinuous holding cost |
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Storage model with discontinuous holding cost (English)
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1984
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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.
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storage model
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one-dimensional optimal stochastic control problem
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state constraint
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Hamilton-Jacobi-Bellman equation
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