A Problem of Singular Stochastic Control with Optimal Stopping in Finite Horizon.
Xiaoshan ChenFahuai YiPublished in: SIAM J. Control. Optim. (2012)
Keyphrases
- stochastic control
- optimal stopping
- brownian motion
- finite horizon
- optimal control
- infinite horizon
- differential equations
- stochastic process
- diffusion process
- optimal policy
- markov decision processes
- stochastic processes
- poisson process
- heavy traffic
- average cost
- vector valued
- closed form solutions
- reinforcement learning
- queue length
- multistage
- decision making
- markov decision process
- dynamic programming
- production planning
- state space
- asymptotically optimal
- finite state
- control strategy
- closed form