Solving the drift control problem
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Publication:3466714
DOI10.1214/12-SSY087zbMath1350.60088OpenAlexW4241077905MaRDI QIDQ3466714
Melda Örmeci Matoğlu, John Vande Vate, Huizhu Wang
Publication date: 25 January 2016
Full work available at URL: https://projecteuclid.org/euclid.ssy/1450879457
algorithmlinear programmingdiffusion processBrownian drift control problemmanaging capacitystrongly feasible basis
Optimality conditions and duality in mathematical programming (90C46) Linear programming (90C05) Brownian motion (60J65) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Related Items (5)
New Venture Creation: A Drift-Variance Diffusion Control Model ⋮ Average Cost Brownian Drift Control with Proportional Changeover Costs ⋮ Singular control of the drift of a Brownian system ⋮ Optimal Drift Rate Control and Impulse Control for a Stochastic Inventory/Production System ⋮ The economic average cost Brownian control problem
Uses Software
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