Numerical solution of a long-term average control problem for singular stochastic processes

DOI10.1007/S00186-007-0166-9MaRDI QIDQ2465385zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 4 January 2008

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00186-007-0166-9

zbMATH Keywords

Finite elementLinear programmingLong-term averageMarkov chainSingular stochastic controlStationary distribution

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20)

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Cites work

• Existence of Markov Controls and Characterization of Optimal Markov Controls
• scientific article; zbMATH DE number 1577097 (Why is no real title available?)
• Linear Programming Formulation for Optimal Stopping Problems
• Numerical comparison of controls and verification of optimality for stochastic control problems
• The finite element method for computing the stationary distribution of an SRBM in a hypercube with applications to finite buffer queueing networks

Cited in

(7)

• Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time
• A partial history of the early development of continuous-time nonlinear stochastic systems theory
• scientific article; zbMATH DE number 4141435 (Why is no real title available?)
• Convergence of finite element methods for singular stochastic control
• On the solution structure of infinite-dimensional linear problems stemming from singular stochastic control problems
• scientific article; zbMATH DE number 2189788 (Why is no real title available?)
• Finite element approximations for stochastic control problems with unbounded state space

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