Switching and impulsive control of a reflected diffusion

DOI10.1007/BF01442175MaRDI QIDQ759723zbMATH OpenOpenAlexFDO

Authors Yu-Chung Liao

Publication date 1984

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01442175

zbMATH Keywords

impulsive controlswitching costsreflected diffusion processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Variational inequalities (49J40) Existence of optimal solutions to problems involving randomness (49J55) Dynamic programming in optimal control and differential games (49L20) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

Recommendations

• On ergodic control of switching processes
• An Ergodic Control Problem for Reflected Diffusion with Jump
• Ergodic switching control for diffusion-type processes
• Ergodic problem for optimal stochastic switching
• Singular stochastic control and optimal stopping

Cites work

• Diffusion processes with boundary conditions
• Existence and uniqueness for degenerate second order variational inequalities
• On Some Impulse Control Problems with Long Run Average Cost
• On a degenerate variational inequality with Neumann boundary conditions
• Optimal control by means switchings
• Regularity of the solution of the quasi variational inequality for the impulse control problem

Cited in

(9)

• The economic average cost Brownian control problem
• Solving the drift control problem
• Impulse control of a diffusion with a change point
• Optimal stochastic switching of some queueing networks
• Using control to shape stochastic escape and switching dynamics
• Optimal stochastic switching of dynamic routing in networks
• Optimal selection policy for a flexible manufacturing cell using optimal stochastic switching
• Input-to-state stability of impulsive and switching hybrid systems with time-delay
• Controlled Switching Diffusions Under Ambiguity: The Average Criterion

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