A numerical method for ergodic optimal control of switching diffusions with reflection

DOI10.1016/J.EJCON.2024.100989zbMATH Open1537.93788MaRDI QIDQ6545271FDOQ6545271

Authors Saul C. Leite, Marcelo Dutra Fragoso

Publication date 29 May 2024

Published in European Journal of Control (Search for Journal in Brave)

zbMATH Keywords

numerical methodsoptimal stochastic controlswitching stochastic differential equations

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Discrete approximations in optimal control (49M25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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