A numerical method for reflected diffusions: Control of the reflection directions and applications

DOI10.1007/BF01187962MaRDI QIDQ1909385zbMATH OpenOpenAlexFDO

Authors Harold J. Kushner

Publication date 15 August 1996

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

Full work available at URL https://doi.org/10.1007/bf01187962

zbMATH Keywords

weak convergenceboundary controlnumerical methodoptimal controlreflected diffusionMarkov chain approximationheavy-trafficcontrolled networkreflection directions

Mathematics Subject Classification ID

Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Functional limit theorems; invariance principles (60F17) Optimal stochastic control (93E20)

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• A Numerical Method for Controlled Routing in Large Trunk Line Networks via Stochastic Control Theory
• Control of Trunk Line Systems in Heavy Traffic
• Numerical Methods for Stochastic Control Problems in Continuous Time
• Optimality Conditions for the Average Cost per Unit Time Problem with a Diffusion Model
• Routing and Capacity Allocation in Networks with Trunk Reservation
• Separable routing: A scheme for state-dependent routing of circuit switched telephone traffic
• State-dependent routing on symmetric loss networks with trunk reservations. II: Asymptotics, optimal design

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• scientific article; zbMATH DE number 3850966 (Why is no real title available?)
• Directional derivatives of oblique reflection maps

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