Iterative algorithms for solving undiscounted bellman equations

DOI10.1080/01630569008816367zbMath0691.49032OpenAlexW2028212224MaRDI QIDQ3032902

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Publication date: 1990

Published in: Numerical Functional Analysis and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01630569008816367

zbMATH Keywords

singular stochastic control problemsoptimal stopping time problemundiscounted Bellman equations

Mathematics Subject Classification ID

Numerical methods based on necessary conditions (49M05) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items

Domain decomposition algorithms for solving hamilton-jacobi-bellman equations ⋮ A multidimensional optimal stopping-time problem, with time-average criterion ⋮ Alternating direction algorithms for solving Hamilton-Jacobi-Bellman equations

Cites Work

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