Two-mode control of Brownian motion with quadratic loss and switching costs

DOI10.1016/0304-4149(78)90025-XzbMath0372.60117MaRDI QIDQ1243995

Bharat T. Doshi

Publication date: 1978

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

Mathematics Subject Classification ID

Brownian motion (60J65) Optimal stochastic control (93E20)

Related Items (3)

Optimal Drift Rate Control and Impulse Control for a Stochastic Inventory/Production System ⋮ Control of a continuous production inventory system with production quantity restrictions ⋮ Controlled one dimensional diffusions with switching costs - average cost criterion

Cites Work

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• Diffusion approximations and models for certain congestion problems
• A continuous time inventory model
• Multiple channel queues in heavy traffic. II: sequences, networks, and batches
• Weak convergence theorems for priority queues: preemptive-resume discipline

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