Numerical Methods for Stochastic Singular Control Problems with State-Dependent Control

DOI10.1137/110857556zbMATH Open1262.93028OpenAlexW2074758722MaRDI QIDQ4920275

Harold J. Kushner

Publication date: 16 May 2013

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/2d825a428351fa5ca68f03497c1dea660747705d

zbMATH Keywords

numerical methodssingular stochastic controlreflected diffusionsstate-dependent controlgeneral nonlinear jump diffusionsMarkov chain approximation methodsmultiple simultaneous impulses

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Functional limit theorems; invariance principles (60F17)

Related Items (3)

Numerical Methods for Stochastic Singular Control Problems ⋮ Convergent Numerical Scheme for Singular Stochastic Control with State Constraints in a Portfolio Selection Problem ⋮ Modeling and Approximations for Stochastic Systems with State-Dependent Singular Controls and Wide-Band Noise

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