An algorithm based on an iterative optimal stopping method for Feller processes with applications to impulse control, perturbation, and possibly zero random discount problems
type: Item
instance of: scholarly article
title: An algorithm based on an iterative optimal stopping method for Feller processes with applications to impulse control, perturbation, and possibly zero random discount problems
zbMATH Open document ID: 1498.60160
author: Suhang Dai
author: Olivier Menoukeu-Pamen
published in: Journal of Computational and Applied Mathematics
publication date: 2022-11-09T00:00:00Z
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 65C20
Mathematics Subject Classification ID: 60J25
Mathematics Subject Classification ID: 47D07
Mathematics Subject Classification ID: 60J35
zbMATH DE Number: 7614147
zbMATH Keywords: optimal stopping
zbMATH Keywords: Feller process
zbMATH Keywords: viscosity solutions
zbMATH Keywords: Hamilton-Jacobi-Bellman equation
zbMATH Keywords: iterative optimal stopping
MaRDI profile type: Publication
full work available at URL: j.cam.2022.114864
OpenAlex ID: W4303520555
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DOI: 10.1016/J.CAM.2022.114864
description: scientific article; zbMATH DE number 7614147