From the Optimal Singular Stochastic Control to the Optimal Stopping for Regime-Switching Processes.
Jinghai ShaoTaoran TianPublished in: SIAM J. Control. Optim. (2023)
Keyphrases
- stochastic control
- brownian motion
- optimal stopping
- stochastic processes
- stochastic process
- optimal control
- differential equations
- diffusion process
- poisson process
- vector valued
- heavy traffic
- queue length
- probability distribution
- closed form solutions
- operations management
- random fields
- control problems
- dynamic bayesian networks
- dynamic programming
- stochastic model
- machine learning
- queueing systems
- special case
- multiscale
- image processing