Finite volume computation for the non-stationary probability density function of an impulsively controlled 1-D diffusion process-Reference-Cited by-同舟云学术

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Finite volume computation for the non-stationary probability density function of an impulsively controlled 1-D diffusion process

Published:2020 Issue:2 Volume:7 Page:262-278
ISSN:2188-5303
Container-title:Journal of Advanced Simulation in Science and Engineering
language:en
Short-container-title:JASSE

Author:

Yaegashi Yuta¹²,Yoshioka Hidekazu³⁴,Tsujimura Motoh⁵,Fujihara Masayuki¹

Affiliation:

1. Graduate School of Agriculture, Kyoto University

2. Research Fellow of Japan Society for the Promotion of Science

3. Graduate School of Natural Science and Technology, Shimane University

4. Fisheries Ecosystem Project Center, Shimane University

5. Faculty of Commerce, Doshisha University

Publisher

Japan Society for Simulation Technology

Subject

General Engineering

Link

https://www.jstage.jst.go.jp/article/jasse/7/2/7_262/_pdf

Reference27 articles.

1. [1] A. Cadenillas, F. Zapatero: Optimal central bank intervention in the foreign exchange market, Journal of Economic theory, 87:1 (1999), 218-242.

2. [2] M. Ohnishi, M. Tsujimura: An impulse control of a geometric Brownian motion with quadratic costs, European Journal of Operational Research, 168:2 (2006), 311-321.

3. [3] M. Tsujimura, A. Maeda: Stochastic control: Theory and applications, Asakura Shoten, 2016. (in Japanese)

4. [4] S. P. Van der Pijl, C. W. Oosterlee: An ENO-based method for second-order equations and application to the control of dike levels, Journal of Scientific Computing, 50:2 (2012), 462-492.

5. [5] B. Oksendal, A. Sulem: Optimal consumption and portfolio with both fixed and proportional transaction costs, SIAM Journal on Control and Optimization, 40:6 (2002), 1765-1790.

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