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 controlreflected diffusion processesswitching costs

Mathematics Subject Classification ID

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) Diffusion processes (60J60) Optimal stochastic control (93E20)

Review text

The author studies in this paper some control problems for reflected diffusion processes which include optimal stopping problems and impulsive control problems with switching costs. The reviewer had some difficulties to understand this paper, since there seems to be many misprints or missing arguments. A few examples: i) in corollary 2.1, the formulation of (2.8) seems rather strange (convergence in \(W^{1,\infty}\) means convergence in \(C^ 1!\) Does the author really want \(\partial^ 2\psi_ n/\partial x_ i\partial x_ j\) bounded from above for all i and j...), 2) in p. 157, line 15, why does \(M_ aV^ k_{n-1}\) satisfy (8), what about the inequality on \(\partial G\) in (2.8)....

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 a degenerate variational inequality with Neumann boundary conditions
• On Some Impulse Control Problems with Long Run Average Cost
• Optimal control by means switchings
• Regularity of the solution of the quasi variational inequality for the impulse control problem

Cited in

(9)

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

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