A numerical method for reflected diffusions: Control of the reflection directions and applications (Q1909385)
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scientific article; zbMATH DE number 854839
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A numerical method for reflected diffusions: Control of the reflection directions and applications |
scientific article; zbMATH DE number 854839 |
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A numerical method for reflected diffusions: Control of the reflection directions and applications (English)
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15 August 1996
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This paper deals with a numerical method for the optimal control of the reflection directions of a reflected diffusion process, and with either a discounted or an ergodic cost criterion. The author introduced the Markov chain approximation method and proved its convergence. The optimality theorems are shown. The controlled network with heavy-traffic condition is treated as an important application.
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boundary control
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weak convergence
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numerical method
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optimal control
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reflection directions
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reflected diffusion
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Markov chain approximation
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controlled network
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heavy-traffic
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