Characterization of stochastic control with optimal stopping in a Sobolev space.

Xiaoshan Chen Qingshuo Song Fahuai Yi Gang George Yin

Published in: Autom. (2013)

Keyphrases

optimal stopping
brownian motion
stochastic control
differential equations
stochastic process
optimal control
stochastic processes
poisson process
vector valued
diffusion process
finite horizon
heavy traffic
queue length
closed form solutions
search space
machine learning
control problems
queueing systems
multiscale