Approximations and computational methods for optimal stopping and stochastic impulsive control problems

DOI10.1007/BF01441962MaRDI QIDQ1243882zbMATH OpenOpenAlexFDO

Authors Harold J. Kushner

Publication date 1977

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01441962

Mathematics Subject Classification ID

Existence theories for optimal control problems involving partial differential equations (49J20) Stopping times; optimal stopping problems; gambling theory (60G40) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

Cites work

• Approximations, existence, and numerical procedures for optimal stochastic controls
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• Mathematical programming and the control of Markov chains†
• On the weak convergence of interpolated Markov chains to a diffusion
• Probability methods for approximations in stochastic control and for elliptic equations
• Probability methods for the convergence of finite difference approximations to partial differential equations
• Weak convergence of probability measures and random functions in the function space D[0,∞)

Cited in

(7)

• Approximations for optimal stopping of a piecewise-deterministic process
• Impulse control of piecewise-deterministic processes
• Computation of impulse control laws for a nonlinear stochastic oscillator
• On a problem of quasi-optimal impulse correction of stochastic systems
• Impulse control of interest rates
• Techniques probabilistes dans le contrôle impulsionnel
• Optimal impulse control for cyber risk management

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