Average cost Brownian drift control with proportional changeover costs

DOI10.1287/STSY.2021.0071MaRDI QIDQ5084489zbMATHOpenAlexFDO

Authors John H. Vande Vate

Publication date 24 June 2022

Published in Stochastic Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/stsy.2021.0071

zbMATH Keywords

algorithmdiffusion processdrift control

Mathematics Subject Classification ID

Brownian motion (60J65) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 4078444 (Why is no real title available?)
• scientific article; zbMATH DE number 48635 (Why is no real title available?)
• scientific article; zbMATH DE number 5685899 (Why is no real title available?)
• A Method for Computing Double Band Policies for Switching between Two Diffusions
• A control of a brownian storage system with two switcnover drifts
• A diffusion model for the control of a dam
• Drift Control with Changeover Costs
• Drift rate control of a Brownian processing system
• Network flows. Theory, algorithms, and applications.
• On the Lambert \(w\) function
• Optimal Control of a Brownian Motion
• Optimal buffer size for a stochastic processing network in heavy traffic
• Optimal control of a Brownian production/inventory system with average cost criterion
• Solving the drift control problem
• The Optimal Policy for a Controlled Brownian Motion Process
• The economic average cost Brownian control problem

Cited in

(6)

• SKOROKHOD EMBEDDINGS IN BOUNDED TIME
• Drift rate control of a Brownian processing system
• The economic average cost Brownian control problem
• Drift Control with Changeover Costs
• Solving the drift control problem
• A control of a brownian storage system with two switcnover drifts

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