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SIAMCO
2008
14 years 9 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 9 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 9 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 9 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...
SIAMCO
2002
14 years 9 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...