scientific article; zbMATH DE number 1014735

MaRDI QIDQ4338427zbMATH OpenFDO

Authors Nico M. van Dijk, Arie Hordijk

Publication date 3 July 1997

Full work available at URL https://eudml.org/doc/27333, http://www.kybernetika.cz/content/1996/2/139

zbMATH Keywords

controlled Markov processesdifference methoddynamic programminginfinite server queueoptimal cost

Mathematics Subject Classification ID

Sampled-data control/observation systems (93C57) Optimal stochastic control (93E20)

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Cites work

• Discrete Approximation of Continuous Time Stochastic Control Systems
• Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time
• On the Convergence of the Discrete Time Dynamic Programming Equation for General Semigroups
• Optimal control of the service rate in an M/G/1 queueing system
• Stochastic Cash Management with Fixed and Proportional Transaction Costs

Cited in

(8)

• On the finite horizon Bellman equation for controlled Markov jump models with unbounded characteristics: Existence and approximation
• On approximation of value functions for controlled discontinuous random processes
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• Impulsive and continuously acting control of jump processes-time discretization
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• Mimicking finite dimensional marginals of a controlled diffusion with jumps

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