Determining the Optimal Control of Singular Stochastic Processes Using Linear Programming

DOI10.1214/074921708000000354zbMath1166.93029OpenAlexW2134885759MaRDI QIDQ3626704

Richard H. Stockbridge, Kurt Helmes

Publication date: 22 May 2009

Published in: Institute of Mathematical Statistics Collections (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/074921708000000354

zbMATH Keywords

linear programmingregime switchingstationary distributionsrepair modelsingular processessingular and absolutely continuous control

Mathematics Subject Classification ID

Linear programming (90C05) Optimal stochastic control (93E20) Diffusion processes (60J60)

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