A Numerical Method for Solving Singular Stochastic Control Problems

Singular stochastic control has found diverse applications in operations management, economics, and finance. However, in all but the simplest of cases, singular stochastic control problems cannot be solved analytically. In this paper, we propose a method for numerically solving a class of singular s...

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Veröffentlicht in:	Operations research 2004-07, Vol.52 (4), p.563-582
Hauptverfasser:	Kumar, Sunil, Muthuraman, Kumar
Format:	Artikel
Sprache:	eng
Schlagworte:	Analysis Approximation Boundary conditions Brownian approximations Brownian motion Carrying costs Control theory Cost control diffusions Dynamic programming dynamic programming/optimal control economics HJB equations investments under uncertainty Mathematical procedures Mathematical vectors Methods Network servers Numerical methods Operations management Optimization Partial differential equations probability queueing Queuing scheduling singular stochastic control Stochastic models Stochastic processes Studies Technology application Terminator regions
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