-
Previous Article
Time-inconsistent optimal control problems with regime-switching
- MCRF Home
- This Issue
- Next Article
Addendum to "A sparse Markov chain approximation of LQ-type stochastic control problems"
1. | School of Mathematics, University of Edinburgh, Edinburgh EH9 3JZ, Scotland, UK |
2. | Institut für Mathematik, Brandenburgische Technische Universität Cottbus-Senftenberg, Platz der Deutschen Einheit 1,03046 Cottbus, Germany |
References:
[1] |
R. Banisch and C. Hartmann,
A sparse Markov chain approximation of LQ-type stochastic control problems, Math. Control Relat. Fields, 6 (2016), 363-389.
doi: 10.3934/mcrf.2016007. |
show all references
References:
[1] |
R. Banisch and C. Hartmann,
A sparse Markov chain approximation of LQ-type stochastic control problems, Math. Control Relat. Fields, 6 (2016), 363-389.
doi: 10.3934/mcrf.2016007. |
[1] |
Ralf Banisch, Carsten Hartmann. A sparse Markov chain approximation of LQ-type stochastic control problems. Mathematical Control & Related Fields, 2016, 6 (3) : 363-389. doi: 10.3934/mcrf.2016007 |
[2] |
Eduardo Casas, Mariano Mateos, Arnd Rösch. Finite element approximation of sparse parabolic control problems. Mathematical Control & Related Fields, 2017, 7 (3) : 393-417. doi: 10.3934/mcrf.2017014 |
[3] |
Mingzheng Wang, M. Montaz Ali, Guihua Lin. Sample average approximation method for stochastic complementarity problems with applications to supply chain supernetworks. Journal of Industrial & Management Optimization, 2011, 7 (2) : 317-345. doi: 10.3934/jimo.2011.7.317 |
[4] |
Kun Fan, Yang Shen, Tak Kuen Siu, Rongming Wang. On a Markov chain approximation method for option pricing with regime switching. Journal of Industrial & Management Optimization, 2016, 12 (2) : 529-541. doi: 10.3934/jimo.2016.12.529 |
[5] |
Zhenguo Bai, Yicang Zhou. Addendum. Discrete & Continuous Dynamical Systems - B, 2011, 15 (3) : 915-916. doi: 10.3934/dcdsb.2011.15.915 |
[6] |
Samuel N. Cohen, Lukasz Szpruch. On Markovian solutions to Markov Chain BSDEs. Numerical Algebra, Control & Optimization, 2012, 2 (2) : 257-269. doi: 10.3934/naco.2012.2.257 |
[7] |
Hui-Qiang Ma, Nan-Jing Huang. Neural network smoothing approximation method for stochastic variational inequality problems. Journal of Industrial & Management Optimization, 2015, 11 (2) : 645-660. doi: 10.3934/jimo.2015.11.645 |
[8] |
Mou-Hsiung Chang, Tao Pang, Moustapha Pemy. Finite difference approximation for stochastic optimal stopping problems with delays. Journal of Industrial & Management Optimization, 2008, 4 (2) : 227-246. doi: 10.3934/jimo.2008.4.227 |
[9] |
Yusuke Murase, Atsushi Kadoya, Nobuyuki Kenmochi. Optimal control problems for quasi-variational inequalities and its numerical approximation. Conference Publications, 2011, 2011 (Special) : 1101-1110. doi: 10.3934/proc.2011.2011.1101 |
[10] |
Luke Finlay, Vladimir Gaitsgory, Ivan Lebedev. Linear programming solutions of periodic optimization problems: approximation of the optimal control. Journal of Industrial & Management Optimization, 2007, 3 (2) : 399-413. doi: 10.3934/jimo.2007.3.399 |
[11] |
Carsten Hartmann, Juan C. Latorre, Wei Zhang, Grigorios A. Pavliotis. Addendum to "Optimal control of multiscale systems using reduced-order models". Journal of Computational Dynamics, 2017, 4 (1&2) : 167-167. doi: 10.3934/jcd.2017006 |
[12] |
Yufeng Shi, Tianxiao Wang, Jiongmin Yong. Optimal control problems of forward-backward stochastic Volterra integral equations. Mathematical Control & Related Fields, 2015, 5 (3) : 613-649. doi: 10.3934/mcrf.2015.5.613 |
[13] |
Mattia Bongini, Massimo Fornasier, Oliver Junge, Benjamin Scharf. Sparse control of alignment models in high dimension. Networks & Heterogeneous Media, 2015, 10 (3) : 647-697. doi: 10.3934/nhm.2015.10.647 |
[14] |
Gero Friesecke, Felix Henneke, Karl Kunisch. Frequency-sparse optimal quantum control. Mathematical Control & Related Fields, 2018, 8 (1) : 155-176. doi: 10.3934/mcrf.2018007 |
[15] |
Suxiang He, Pan Zhang, Xiao Hu, Rong Hu. A sample average approximation method based on a D-gap function for stochastic variational inequality problems. Journal of Industrial & Management Optimization, 2014, 10 (3) : 977-987. doi: 10.3934/jimo.2014.10.977 |
[16] |
Mei Ju Luo, Yi Zeng Chen. Smoothing and sample average approximation methods for solving stochastic generalized Nash equilibrium problems. Journal of Industrial & Management Optimization, 2016, 12 (1) : 1-15. doi: 10.3934/jimo.2016.12.1 |
[17] |
Olha P. Kupenko, Rosanna Manzo. Shape stability of optimal control problems in coefficients for coupled system of Hammerstein type. Discrete & Continuous Dynamical Systems - B, 2015, 20 (9) : 2967-2992. doi: 10.3934/dcdsb.2015.20.2967 |
[18] |
Omid S. Fard, Javad Soolaki, Delfim F. M. Torres. A necessary condition of Pontryagin type for fuzzy fractional optimal control problems. Discrete & Continuous Dynamical Systems - S, 2018, 11 (1) : 59-76. doi: 10.3934/dcdss.2018004 |
[19] |
Jingzhi Tie, Qing Zhang. An optimal mean-reversion trading rule under a Markov chain model. Mathematical Control & Related Fields, 2016, 6 (3) : 467-488. doi: 10.3934/mcrf.2016012 |
[20] |
Walter Alt, Robert Baier, Matthias Gerdts, Frank Lempio. Error bounds for Euler approximation of linear-quadratic control problems with bang-bang solutions. Numerical Algebra, Control & Optimization, 2012, 2 (3) : 547-570. doi: 10.3934/naco.2012.2.547 |
2017 Impact Factor: 0.542
Tools
Metrics
Other articles
by authors
[Back to Top]