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SIAMCO
2008
14 years 11 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
14 years 11 months ago
2008
We consider the optimal control problem of feeding in minimal time a tank where several species compete for a single resource, with the objective being to reach a given level of th...
SIAMCO
2000
14 years 11 months ago
2000
In this paper the theory of evolution semigroups is developed and used to provide a framework to study the stability of general linear control systems. These include autonomous and...
SIAMCO
2002
14 years 11 months ago
2002
There is a large literature on the rate of convergence problem for general unconstrained stochastic approximations. Typically, one centers the iterate n about the limit point then...
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SIAMCO
2002
14 years 11 months ago
2002
As shown in [7], optimal control problems with either ODE or PDE dynamics can be solved efficiently using a setting of consistent approximations obtained by numerical discretizati...