Overtaking optimality for controlled Markov-modulated diffusions
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Management Science and Operations Research,Control and Optimization
Link
http://www.tandfonline.com/doi/pdf/10.1080/02331934.2011.565417
Reference23 articles.
1. Neoclassical Growth and the Efficient Program of Capital Accumulation
2. Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
3. M.K. Ghosh, A. Arapostathis, and S.I. Marcus:An Optimal Control Problem Arising in Flexible Manufacturing Systems, Proceedings of the 30th IEEE Conference on Decision and Control, Brighton, England, 1991, pp. 1844–1849
4. Optimal Control of Switching Diffusions with Application to Flexible Manufacturing Systems
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