Optimal control problem regularization for the Markov process with finite number of states and constraints

DOI10.1134/S0005117916090071zbMath1354.93176MaRDI QIDQ505315

Yong-Cai Geng, Sumit K. Garg

Publication date: 20 January 2017

Published in: Automation and Remote Control (Search for Journal in Brave)

Mathematics Subject Classification ID

Queues and service in operations research (90B22) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20)

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Simultaneous impulse and continuous control of a Markov chain in continuous time ⋮ A STOCHASTIC CONTROL APPROACH TO BID-ASK PRICE MODELLING

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