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