Numerical methods for stochastic control problems in continuous time
Numerical methods for stochastic control problems in continuous time
Heavy Traffic Analysis of a Controlled Multiclass Queueing Network via Weak Convergence Methods
SIAM Journal on Control and Optimization
Heavy Traffic Convergence of a Controlled, Multiclass Queueing System
SIAM Journal on Control and Optimization
Infinite-Dimensional Linear Programming Approach to SingularStochastic Control
SIAM Journal on Control and Optimization
Revenue Management of a Make-to-Stock Queue
Manufacturing & Service Operations Management
Revenue Management of a Make-to-Stock Queue
Operations Research
Optimal buffer size for a stochastic processing network in heavy traffic
Queueing Systems: Theory and Applications
Solving Free-boundary Problems with Applications in Finance
Foundations and Trends® in Stochastic Systems
Queueing Systems: Theory and Applications
Invest or Exit? Optimal Decisions in the Face of a Declining Profit Stream
Operations Research
A Computational Method for Stochastic Impulse Control Problems
Mathematics of Operations Research
Stochastic control via direct comparison
Discrete Event Dynamic Systems
Drift Control with Changeover Costs
Operations Research
American Options Under Stochastic Volatility
Operations Research
Approximate Dynamic Programming via a Smoothed Linear Program
Operations Research
Manufacturing & Service Operations Management
Abandonment versus blocking in many-server queues: asymptotic optimality in the QED regime
Queueing Systems: Theory and Applications
Hi-index | 0.00 |
Singular stochastic control has found diverse applications in operations management, economics, and finance. However, in all but the simplest of cases, singular stochastic control problems cannot be solved analytically. In this paper, we propose a method for numerically solving a class of singular stochastic control problems. We combine finite element methods that numerically solve partial differential equations with a policy update procedure based on the principle of smooth pasting to iteratively solve Hamilton-Jacobi-Bellman equations associated with the stochastic control problem. A key feature of our method is that the presence of singular controls simplifies the procedure. We illustrate the method on two examples of singular stochastic control problems, one drawn from economics and the other from queueing systems.