| Title:
|
Time-discretization for controlled Markov processes. II. A jump and diffusion application (English) |
| Author:
|
van Dijk, Nico M. |
| Author:
|
Hordijk, Arie |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
32 |
| Issue:
|
2 |
| Year:
|
1996 |
| Pages:
|
139-158 |
| . |
| Category:
|
math |
| . |
| MSC:
|
49K45 |
| MSC:
|
49M25 |
| MSC:
|
90C40 |
| MSC:
|
93C57 |
| MSC:
|
93E20 |
| idZBL:
|
Zbl 0874.93095 |
| idMR:
|
MR1385859 |
| . |
| Date available:
|
2009-09-24T19:01:28Z |
| Last updated:
|
2012-06-06 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/124178 |
| . |
| Related article:
|
http://dml.cz/handle/10338.dmlcz/125234 |
| . |
| Reference:
|
[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. MR 0667651 |
| Reference:
|
[2] N. Christopeit: Discrete approximation of continuous time stochastic control systems.SIAM J. Control Optim. 21 (1983), 1, 17-40. Zbl 0508.93065, MR 0688438 |
| Reference:
|
[3] G. M. Constantinides: Stochastic cash management with fixed and proportional transaction costs.Management Sci. 22 (1974), 1320-1331. MR 0441249 |
| Reference:
|
[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. MR 0496558 |
| Reference:
|
[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. Zbl 0381.60086, MR 0499221 |
| . |
