论文信息 - A numerical method for stochastic singular control problems with nonadditive controls

A numerical method for stochastic singular control problems with nonadditive controls

We consider stochastic systems with “singular” controls, where the control might be non-additive. It is shown that the Markov chain approximation method yields a convergent numerical method.

Harold J. Kushner | Luiz F. Martins

[1] Harold J. Kushner,et al. Approximation and Weak Convergence Methods for Random Processes , 1984 .

[2] G. Ferreyra,et al. The optimal control problem for the Vidale-Wolfe advertising model revisited , 1990 .

[3] Harold J. Kushner,et al. Jump-Diffusion Approximations for Ordinary Differential Equations with Wide-Band Random Right Hand Sides, , 1979 .

[4] P. Billingsley,et al. Convergence of Probability Measures , 1969 .

[5] H. Kushner,et al. Optimal and approximately optimal control policies for queues in heavy traffic , 1989 .