Optimal control of a one-dimensional storage process

DOI10.1007/BF01442206zbMath0572.90021WikidataQ57636112 ScholiaQ57636112MaRDI QIDQ1062595

Halil Mete Soner

Publication date: 1985

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

zbMATH Keywords

optimal strategyBellman equationfeedback strategiesmeasurable selectioncontrolled jump processdiscounted and ergodic control problemsone- dimensional storage process

Mathematics Subject Classification ID

Integro-ordinary differential equations (45J05) Inventory, storage, reservoirs (90B05) Optimal stochastic control (93E20)

Related Items (6)

Exploration and exhaustibility in dynamic Cournot games ⋮ Switching control of piecewise-deterministic processes ⋮ Stochastic streamflow and dissolved silica dynamics with application to the worst-case long-run evaluation of water environment ⋮ On hitting times for jump-diffusion processes with past dependent local characteristics ⋮ NUMERICAL ANALYSIS AND SIMULATION OF RESOURCE-EXPLORATION MODELS ⋮ On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance

Cites Work

• Ergodic control problem for one-dimensional diffusions with near-monotone cost
• A local time for a storage process
• On a functional differential equation that arises in a Markov control problem
• Errata. Characterizations of semi-reflexivity and quasi-reflexivity
• Optimal Consumption and Exploration of Nonrenewable Resources under Uncertainty
• A stochastic integral in storage theory

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