Discounted Stochastic Fluid Programs

DOI10.1287/moor.26.2.401.10560zbMath1082.93058OpenAlexW2059660622MaRDI QIDQ5704046

Nicole Bäuerle

Publication date: 11 November 2005

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://publikationen.bibliothek.kit.edu/1000043716

zbMATH Keywords

Stochastic fluid models, Piecewise deterministic Markov process, Markov decision process, Maximum principle, Approximating Markov chain approach

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40)

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MINIMIZING MAKESPAN IN A MULTICLASS FLUID NETWORK WITH PARAMETER UNCERTAINTY ⋮ LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY ⋮ Optimal Control of Partially Observable Piecewise Deterministic Markov Processes ⋮ Optimal liquidation problem in illiquid markets ⋮ Convex stochastic fluid programs with average cost.

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