On the optimal control of a random walk with jumps and barriers

DOI10.1007/S11009-017-9565-4MaRDI QIDQ1703039zbMATH OpenOpenAlexFDO

Authors Tim Breitenbach, M. Annunziato, Alfio Borzì

Publication date 1 March 2018

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-017-9565-4

zbMATH Keywords

Fokker-Planck equationmodeling of random walkoptimal controlrandom walk with jumps

Mathematics Subject Classification ID

Functional-differential equations (including equations with delayed, advanced or state-dependent argument) (34K99) Sums of independent random variables; random walks (60G50) Continuous-time Markov processes on discrete state spaces (60J27) Optimal stochastic control (93E20)

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Cited in

(3)

• Optimal control of electricity input given an uncertain demand
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• A non-local Fokker-Planck equation with application to probabilistic evaluation of sediment replenishment projects

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