Geodesic
Time-discretization for controlled Markov processes. II. A jump and diffusion application
Kybernetika, Tome 32 (1996) no. 2, pp. 139-158 Cet article a éte moissonné depuis la source Czech Digital Mathematics Library

Voir la notice de l'article

Classification : 49K45, 49M25, 90C40, 93C57, 93E20 
@article{KYB_1996_32_2_a2,
     author = {van Dijk, Nico M. and Hordijk, Arie},
     title = {Time-discretization for controlled {Markov} processes. {II.} {A} jump and diffusion application},
     journal = {Kybernetika},
     pages = {139--158},
     year = {1996},
     volume = {32},
     number = {2},
     mrnumber = {1385859},
     zbl = {0874.93095},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_1996_32_2_a2/}
}
TY  - JOUR
AU  - van Dijk, Nico M.
AU  - Hordijk, Arie
TI  - Time-discretization for controlled Markov processes. II. A jump and diffusion application
JO  - Kybernetika
PY  - 1996
SP  - 139
EP  - 158
VL  - 32
IS  - 2
UR  - http://geodesic.mathdoc.fr/item/KYB_1996_32_2_a2/
LA  - en
ID  - KYB_1996_32_2_a2
ER  - 
%0 Journal Article
%A van Dijk, Nico M.
%A Hordijk, Arie
%T Time-discretization for controlled Markov processes. II. A jump and diffusion application
%J Kybernetika
%D 1996
%P 139-158
%V 32
%N 2
%U http://geodesic.mathdoc.fr/item/KYB_1996_32_2_a2/
%G en
%F KYB_1996_32_2_a2
van Dijk, Nico M.; Hordijk, Arie. Time-discretization for controlled Markov processes. II. A jump and diffusion application. Kybernetika, Tome 32 (1996) no. 2, pp. 139-158. http://geodesic.mathdoc.fr/item/KYB_1996_32_2_a2/

[1] A. Bensoussan M. Robin: On the convergence of the discrete time dynamic programming equation for general groups. SIAM J. Control Optim. 20 (1982), 1, 722-746. | MR

[2] N. Christopeit: Discrete approximation of continuous time stochastic control systems. SIAM J. Control Optim. 21 (1983), 1, 17-40. | MR | Zbl

[3] G. M. Constantinides: Stochastic cash management with fixed and proportional transaction costs. Management Sci. 22 (1974), 1320-1331. | MR

[4] G. M. Constantinides S. F. Richard: Existence of optimal simple policies for discounted-costs inventory and cash management in continuous time. Oper. Res. 26 (1978), 620-636. | MR

[5] B. T. Doshi: Optimal control of the service rate in an $M|G|1$-queueing system. Adv. in Appl. Probab. 10 (1978), 862-701. | MR | Zbl