A numerical method for ergodic optimal control of switching diffusions with reflection

DOI10.1016/j.ejcon.2024.100989zbMath1537.93788MaRDI QIDQ6545271

Saul C. Leite, Marcelo Dutra Fragoso

Publication date: 29 May 2024

Published in: European Journal of Control (Search for Journal in Brave)

zbMATH Keywords

numerical methodsoptimal stochastic controlswitching stochastic differential equations

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Discrete approximations in optimal control (49M25)

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