A Bounded Variation Control Problem for Diffusion Processes

DOI10.1137/S0363012903436119MaRDI QIDQ5317136zbMATH OpenFDO

Authors Ananda Weerasinghe

Publication date 15 September 2005

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

optimal stoppingstochastic optimal controldiffusions with reflectionslocal-time processes

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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• A leavable bounded-velocity stochastic control problem.
• The effects of implementation delay on decision-making under uncertainty
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• Heavy traffic analysis of a simple closed-loop supply chain
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