Optimal control and replacement with state-dependent failure rate: An invariant measure approach

DOI10.1214/aoap/1177005430zbMath0781.93098OpenAlexW2085351764MaRDI QIDQ687697

Richard H. Stockbridge, Arthur C. Heinricher

Publication date: 28 October 1993

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1177005430

zbMATH Keywords

iterative schemeoptimal solutionstochastic control problems

Mathematics Subject Classification ID

Linear programming (90C05) Reliability, availability, maintenance, inspection in operations research (90B25) Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44)

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Optimal inventory control with path-dependent cost criteria ⋮ Controlling the Running Maximum of a Diffusion Process and an Application to Queueing Systems ⋮ Long-term average control of a continuous, monotone process

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