Discrete Approximations for Stochastic Control Problems with Control Acting Continuously and Impulsively.

Abstract

Stochastic control problems of either the optimal stopping or impulsive control type on diffusion models are considered, but there is also a continuously acting control. Various computationally convenient Markov chain approximations to the problems are developed, and it is shown that the costs for the sequence of approximations converge to the optimal cost for original problems.

Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1975
Accession Number
ADA013909

Entities

People

  • Harold J. Kushner

Organizations

  • Brown University

Tags

DTIC Thesaurus Topics

  • Cooperation
  • Diffusion
  • Markov Chains
  • Mathematics
  • Military Research
  • Probability
  • Sequences
  • Stochastic Control
  • Stochastic Processes

Fields of Study

  • Mathematics

Readers

  • Fluid Dynamics.
  • Mathematical Modeling and Probability Theory.