Time-discretization for controlled Markov processes. II. A jump and diffusion application

Nico M. van Dijk; Arie Hordijk

Kybernetika (1996)

  • Volume: 32, Issue: 2, page 139-158
  • ISSN: 0023-5954

How to cite

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Dijk, Nico M. van, and Hordijk, Arie. "Time-discretization for controlled Markov processes. II. A jump and diffusion application." Kybernetika 32.2 (1996): 139-158. <http://eudml.org/doc/27333>.

@article{Dijk1996,
author = {Dijk, Nico M. van, Hordijk, Arie},
journal = {Kybernetika},
keywords = {difference method; dynamic programming; controlled Markov processes; infinite server queue; optimal cost},
language = {eng},
number = {2},
pages = {139-158},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Time-discretization for controlled Markov processes. II. A jump and diffusion application},
url = {http://eudml.org/doc/27333},
volume = {32},
year = {1996},
}

TY - JOUR
AU - Dijk, Nico M. van
AU - Hordijk, Arie
TI - Time-discretization for controlled Markov processes. II. A jump and diffusion application
JO - Kybernetika
PY - 1996
PB - Institute of Information Theory and Automation AS CR
VL - 32
IS - 2
SP - 139
EP - 158
LA - eng
KW - difference method; dynamic programming; controlled Markov processes; infinite server queue; optimal cost
UR - http://eudml.org/doc/27333
ER -

References

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  1. A. Bensoussan M. Robin, On the convergence of the discrete time dynamic programming equation for general groups, SIAM J. Control Optim. 20 (1982), 1, 722-746. (1982) MR0667651
  2. N. Christopeit, Discrete approximation of continuous time stochastic control systems, SIAM J. Control Optim. 21 (1983), 1, 17-40. (1983) Zbl0508.93065MR0688438
  3. G. M. Constantinides, Stochastic cash management with fixed and proportional transaction costs, Management Sci. 22 (1974), 1320-1331. (1974) MR0441249
  4. G. M. Constantinides S. F. Richard, Existence of optimal simple policies for discounted-costs inventory and cash management in continuous time, Oper. Res. 26 (1978), 620-636. (1978) MR0496558
  5. B. T. Doshi, Optimal control of the service rate in an M | G | 1 -queueing system, Adv. in Appl. Probab. 10 (1978), 862-701. (1978) Zbl0381.60086MR0499221

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