An algorithm based on an iterative optimal stopping method for Feller processes with applications to impulse control, perturbation, and possibly zero random discount problems
DOI10.1016/j.cam.2022.114864zbMath1498.60160OpenAlexW4303520555MaRDI QIDQ2095165
Suhang Dai, Olivier Menoukeu Pamen
Publication date: 9 November 2022
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2022.114864
Hamilton-Jacobi-Bellman equationoptimal stoppingviscosity solutionsFeller processiterative optimal stopping
Probabilistic models, generic numerical methods in probability and statistics (65C20) Continuous-time Markov processes on general state spaces (60J25) Markov semigroups and applications to diffusion processes (47D07) Stopping times; optimal stopping problems; gambling theory (60G40) Transition functions, generators and resolvents (60J35)
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