Singular Stochastic Control, Linear Diffusions, and Optimal Stopping: A Class of Solvable Problems.
Luis H. R. AlvarezPublished in: SIAM J. Control. Optim. (2001)
Keyphrases
- stochastic control
- brownian motion
- optimal stopping
- optimal control
- differential equations
- stochastic process
- closed form solutions
- diffusion process
- stochastic processes
- poisson process
- heavy traffic
- vector valued
- special case
- control problems
- closed form
- queue length
- inventory level
- queueing systems
- markov chain
- multistage
- np hard
- operations management
- machine learning
- anisotropic diffusion
- dynamical systems