An application of reflected diffusions to the problem of choosing between hydro and thermal power generation

DOI10.1016/0304-4149(93)90041-2zbMath0774.60075OpenAlexW2036158195MaRDI QIDQ1208937

T. Ø. Kobila

Publication date: 16 May 1993

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: http://urn.nb.no/URN:NBN:no-47984

zbMATH Keywords

variational inequality formulationstochastic control problemsvertical reflection on the boundary

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Cites Work

• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
• Absolutely continuous and singular stochastic control^†
• Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems
• Singular control problems in bounded intervals
• Equivalent models for finite-fuel stochastic control
• Some solvable stochastic control problemst^†
• Stochastic differential equations. An introduction with applications.
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: An application of reflected diffusions to the problem of choosing between hydro and thermal power generation