A numerical method for reflected diffusions: Control of the reflection directions and applications

DOI10.1007/BF01187962zbMath0843.93095OpenAlexW1977881368MaRDI QIDQ1909385

Harold J. Kushner

Publication date: 15 August 1996

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

Full work available at URL: https://doi.org/10.1007/bf01187962

zbMATH Keywords

optimal controlnumerical methodboundary controlweak convergencereflected diffusionMarkov chain approximationheavy-trafficcontrolled networkreflection directions

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Queues and service in operations research (90B22) Optimal stochastic control (93E20) Functional limit theorems; invariance principles (60F17) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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Cites Work

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• Routing and Capacity Allocation in Networks with Trunk Reservation
• Numerical Methods for Stochastic Control Problems in Continuous Time

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