Numerical methods for stochastic singular control problems with state-dependent control

DOI10.1137/110857556MaRDI QIDQ4920275zbMATH OpenOpenAlexFDO

Authors Harold J. Kushner

Publication date 16 May 2013

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/2d825a428351fa5ca68f03497c1dea660747705d

zbMATH Keywords

general nonlinear jump diffusionsMarkov chain approximation methodsmultiple simultaneous impulsesnumerical methodsreflected diffusionssingular stochastic controlstate-dependent control

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30) Optimal stochastic control (93E20)

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Cited in

(5)

• A survey of numerical solutions for stochastic control problems: some recent progress
• Numerical Methods for Stochastic Singular Control Problems
• Convergent Numerical Scheme for Singular Stochastic Control with State Constraints in a Portfolio Selection Problem
• Numerical solution methods for singular control with multiple state dependent forms
• Modeling and Approximations for Stochastic Systems with State-Dependent Singular Controls and Wide-Band Noise

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