Algorithms for Optimal Control of Stochastic Switching Systems

DOI10.1137/S0040585X97T987910zbMath1350.93093OpenAlexW2224393642MaRDI QIDQ3178726

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Publication date: 7 December 2016

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97t987910

zbMATH Keywords

optimal controldualityAmerican optionspathwise stochastic control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30) Portfolio theory (91G10)

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An algorithmic approach to optimal asset liquidation problems ⋮ Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations ⋮ Existence and uniqueness of solutions to uncertain fractional switched systems with an uncertain stock model ⋮ Existence and uniqueness of solutions for uncertain nonlinear switched systems ⋮ SOLUTIONS AND DIAGNOSTICS OF SWITCHING PROBLEMS WITH LINEAR STATE DYNAMICS

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