Applications of Numerical Methods for Stochastic Controlled Switching Diffusions with a Hidden Markov Chain: Case Studies on Distributed Power Management and Communication Resource Allocation
DOI10.1007/978-3-319-20239-6_11zbMath1359.93460OpenAlexW777006926MaRDI QIDQ2942194
Zhixin Yang, George Yin, Qing Zhang, Hong-Wei Zhang, L. Y. Wang
Publication date: 20 August 2015
Published in: Finite Difference Methods,Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-20239-6_11
Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stochastic systems in control theory (general) (93E03) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30)
Cites Work
- Hybrid switching diffusions. Properties and applications
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Mean-variance type controls involving a hidden Markov chain: models and numerical approximation
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Consistency issues for numerical methods for variance control, with applications to optimization in finance
- Near-optimal mean–variance controls under two-time-scale formulations and applications
- Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
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