Controlled diffusion processes with Markovian switchings for modeling dynamical engineering systems

DOI10.1016/J.EJOR.2012.02.040MaRDI QIDQ1926896zbMATH OpenOpenAlexFDO

Authors Héctor Cañada, Rosario Romera

Publication date 29 December 2012

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10016/4668

zbMATH Keywords

controlled Markov chainssimulationstochastic differential equationsuncertainty modeling

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Continuous-time Markov processes on discrete state spaces (60J27) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic systems in control theory (general) (93E03)

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Cited in

(2)

• Applications of Numerical Methods for Stochastic Controlled Switching Diffusions with a Hidden Markov Chain: Case Studies on Distributed Power Management and Communication Resource Allocation
• Constrained optimality for controlled switching diffusions with an application to stock purchasing

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