Approximations and computational methods for optimal stopping and stochastic impulsive control problems

DOI10.1007/BF01441962zbMath0369.49003OpenAlexW1974238941MaRDI QIDQ1243882

Harold J. Kushner

Publication date: 1977

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

Full work available at URL: https://doi.org/10.1007/bf01441962

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Existence theories for optimal control problems involving partial differential equations (49J20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

Related Items (6)

On a problem of quasi-optimal impulse correction of stochastic systems ⋮ Approximations for optimal stopping of a piecewise-deterministic process ⋮ Impulse Control of Interest Rates ⋮ Impulse control of piecewise-deterministic processes ⋮ Computation of impulse control laws for a nonlinear stochastic oscillator ⋮ Techniques probabilistes dans le contrôle impulsionnel

Cites Work

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• Probability methods for the convergence of finite difference approximations to partial differential equations
• Probability methods for approximations in stochastic control and for elliptic equations
• On the weak convergence of interpolated Markov chains to a diffusion
• Approximations, existence, and numerical procedures for optimal stochastic controls
• Mathematical programming and the control of Markov chains†
• Weak convergence of probability measures and random functions in the function space D[0,∞)

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