A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries.
Tiziano De AngelisGiorgio FerrariJohn MoriartyPublished in: SIAM J. Control. Optim. (2015)
Keyphrases
- stochastic control
- brownian motion
- optimal stopping
- optimal control
- differential equations
- stochastic process
- diffusion process
- poisson process
- vector valued
- stochastic processes
- queue length
- heavy traffic
- operations management
- queueing systems
- dynamic programming
- reinforcement learning
- control problems
- dynamical systems
- markov chain
- stochastic model
- queueing networks
- closed form solutions
- state space
- optical flow
- multiscale