9 search results - page 1 / 2 » A Direct Solution Method for Stochastic Impulse Control Prob... |
SIAMCO
2008
13 years 4 months ago
2008
We consider stochastic impulse control problems where the process is driven by one-dimensional diffusions. Impulse control problems are widely applied to financial engineering and...
SIAMCO
2008
13 years 4 months ago
2008
We introduce a new class of control problems in which the gain depends on the solution of a stochastic differential equation reflected at the boundary of a bounded domain, along d...
SIAMREV
2010
12 years 11 months ago
2010
In this paper we propose and analyze a Stochastic-Collocation method to solve elliptic Partial Differential Equations with random coefficients and forcing terms (input data of the...
HYBRID
2005
Springer
13 years 10 months ago
2005
Springer
Abstract. In this paper, we study the problem of controlling the expected exit time from a region for a class of stochastic hybrid systems. That is, we find the least costly feedb...
GECCO
2005
Springer
13 years 10 months ago
2005
Springer
Evolutionary Algorithms (EAs) have been largely applied to optimisation and synthesis of controllers. In spite of several successful applications and competitive solutions, the st...