Determining the Optimal Control of Singular Stochastic Processes Using Linear Programming

DOI10.1214/074921708000000354MaRDI QIDQ3626704zbMATH OpenOpenAlexFDO

Authors Richard H. Stockbridge, K. Helmes

Publication date 22 May 2009

Published in Institute of Mathematical Statistics Collections (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/074921708000000354

zbMATH Keywords

linear programmingregime switchingrepair modelsingular and absolutely continuous controlsingular processesstationary distributions

Mathematics Subject Classification ID

Diffusion processes (60J60) Linear programming (90C05) Optimal stochastic control (93E20)

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• Solving the drift control problem
• Some Analytic Aspects of the Linear-Programming Approach to the Numerical Solution of Singular Stochastic Control Problems
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• Convergence of finite element methods for singular stochastic control

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