A two-scale scheme for finite horizon switching problems with delays
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Publication:2288713
DOI10.1016/J.AUTOMATICA.2019.108709zbMath1430.93132OpenAlexW2989624920MaRDI QIDQ2288713
Publication date: 20 January 2020
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2019.108709
Dynamic programming (90C39) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30) Delay control/observation systems (93C43)
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Cites Work
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- The finite horizon optimal multi-modes switching problem: the viscosity solution approach
- Switching problem and related system of reflected backward SDEs
- Multi-dimensional BSDE with oblique reflection and optimal switching
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- Finite-Horizon Optimal Multiple Switching with Signed Switching Costs
- A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension
- A Finite Horizon Optimal Multiple Switching Problem
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