- Previous Article
- MCRF Home
- This Issue
-
Next Article
Time-inconsistent optimal control problems with regime-switching
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 and 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 and Related Fields, 2017, 7 (3) : 393-417. doi: 10.3934/mcrf.2017014 |
| [3] |
Marvin S. Müller. Approximation of the interface condition for stochastic Stefan-type problems. Discrete and Continuous Dynamical Systems - B, 2019, 24 (8) : 4317-4339. doi: 10.3934/dcdsb.2019121 |
| [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 and Management Optimization, 2016, 12 (2) : 529-541. doi: 10.3934/jimo.2016.12.529 |
| [5] |
Mingzheng Wang, M. Montaz Ali, Guihua Lin. Sample average approximation method for stochastic complementarity problems with applications to supply chain supernetworks. Journal of Industrial and Management Optimization, 2011, 7 (2) : 317-345. doi: 10.3934/jimo.2011.7.317 |
| [6] |
Kehan Si, Zhenda Xu, Ka Fai Cedric Yiu, Xun Li. Open-loop solvability for mean-field stochastic linear quadratic optimal control problems of Markov regime-switching system. Journal of Industrial and Management Optimization, 2022, 18 (4) : 2415-2433. doi: 10.3934/jimo.2021074 |
| [7] |
Zhenguo Bai, Yicang Zhou. Addendum. Discrete and Continuous Dynamical Systems - B, 2011, 15 (3) : 915-916. doi: 10.3934/dcdsb.2011.15.915 |
| [8] |
Chuchu Chen, Jialin Hong, Yulan Lu. Stochastic differential equation with piecewise continuous arguments: Markov property, invariant measure and numerical approximation. Discrete and Continuous Dynamical Systems - B, 2022 doi: 10.3934/dcdsb.2022098 |
| [9] |
Samuel N. Cohen, Lukasz Szpruch. On Markovian solutions to Markov Chain BSDEs. Numerical Algebra, Control and Optimization, 2012, 2 (2) : 257-269. doi: 10.3934/naco.2012.2.257 |
| [10] |
Kangkang Deng, Zheng Peng, Jianli Chen. Sparse probabilistic Boolean network problems: A partial proximal-type operator splitting method. Journal of Industrial and Management Optimization, 2019, 15 (4) : 1881-1896. doi: 10.3934/jimo.2018127 |
| [11] |
Mou-Hsiung Chang, Tao Pang, Moustapha Pemy. Finite difference approximation for stochastic optimal stopping problems with delays. Journal of Industrial and Management Optimization, 2008, 4 (2) : 227-246. doi: 10.3934/jimo.2008.4.227 |
| [12] |
Hui-Qiang Ma, Nan-Jing Huang. Neural network smoothing approximation method for stochastic variational inequality problems. Journal of Industrial and Management Optimization, 2015, 11 (2) : 645-660. doi: 10.3934/jimo.2015.11.645 |
| [13] |
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 |
| [14] |
Salah Eddine Choutri, Boualem Djehiche, Hamidou Tembine. Optimal control and zero-sum games for Markov chains of mean-field type. Mathematical Control and Related Fields, 2019, 9 (3) : 571-605. doi: 10.3934/mcrf.2019026 |
| [15] |
Luke Finlay, Vladimir Gaitsgory, Ivan Lebedev. Linear programming solutions of periodic optimization problems: approximation of the optimal control. Journal of Industrial and Management Optimization, 2007, 3 (2) : 399-413. doi: 10.3934/jimo.2007.3.399 |
| [16] |
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 |
| [17] |
De-Han Chen, Daijun Jiang, Irwin Yousept, Jun Zou. Addendum to: "Variational source conditions for inverse Robin and flux problems by partial measurements". Inverse Problems and Imaging, 2022, 16 (2) : 481-481. doi: 10.3934/ipi.2022003 |
| [18] |
Ajay Jasra, Kody J. H. Law, Yaxian Xu. Markov chain simulation for multilevel Monte Carlo. Foundations of Data Science, 2021, 3 (1) : 27-47. doi: 10.3934/fods.2021004 |
| [19] |
Linfang Liu, Xianlong Fu. Existence and upper semicontinuity of (L2, Lq) pullback attractors for a stochastic p-laplacian equation. Communications on Pure and Applied Analysis, 2017, 6 (2) : 443-474. doi: 10.3934/cpaa.2017023 |
| [20] |
Mattia Bongini, Massimo Fornasier, Oliver Junge, Benjamin Scharf. Sparse control of alignment models in high dimension. Networks and Heterogeneous Media, 2015, 10 (3) : 647-697. doi: 10.3934/nhm.2015.10.647 |
2021 Impact Factor: 1.141
Tools
Metrics
Other articles
by authors
[Back to Top]