Numerical methods for stochastic control problems in continuous time
HJ Kushner - SIAM Journal on Control and Optimization, 1990 - SIAM
A powerful and usable class of methods for numerically approximating the solutions to
optimal stochastic control problems for diffusion, reflected diffusion, or jump-diffusion models …
optimal stochastic control problems for diffusion, reflected diffusion, or jump-diffusion models …
Designing a call center with impatient customers
O Garnett, A Mandelbaum… - Manufacturing & Service …, 2002 - pubsonline.informs.org
The most common model to support workforce management of telephone call centers is the
M/M/N/B model, in particular its special cases M/M/N (Erlang C, which models out busy …
M/M/N/B model, in particular its special cases M/M/N (Erlang C, which models out busy …
Optimal investment and consumption with transaction costs
A complete solution is provided to the infinite-horizon, discounted problem of optimal
consumption and investment in a market with one stock, one money market (sometimes …
consumption and investment in a market with one stock, one money market (sometimes …
Dynamical systems and variational inequalities
P Dupuis, A Nagurney - Annals of Operations Research, 1993 - Springer
The variational inequality problem has been utilized to formulate and study a plethora of
competitive equilibrium problems in different disciplines, ranging from oligopolistic market …
competitive equilibrium problems in different disciplines, ranging from oligopolistic market …
[图书][B] Control techniques for complex networks
S Meyn - 2008 - books.google.com
Power grids, flexible manufacturing, cellular communications: interconnectedness has
consequences. This remarkable book gives the tools and philosophy you need to build …
consequences. This remarkable book gives the tools and philosophy you need to build …
[图书][B] Stochastic differential equations
E Pardoux, A Rӑşcanu, E Pardoux, A Răşcanu - 2014 - Springer
Stochastic Differential Equations | SpringerLink Skip to main content Advertisement SpringerLink
Account Menu Find a journal Publish with us Track your research Search Cart Book cover …
Account Menu Find a journal Publish with us Track your research Search Cart Book cover …
[图书][B] Markets with Transaction Costs Mathematical Theory
Y Kabanov - 2009 - Springer
This book contains an introduction to the mathematical theory of financial markets with
proportional transaction costs. Traditionally, a theoretical analysis of models with market …
proportional transaction costs. Traditionally, a theoretical analysis of models with market …
Lipschitz stability estimate and uniqueness in the retrospective analysis for the mean field games system via two Carleman estimates
MV Klibanov, Y Averboukh - SIAM Journal on Mathematical Analysis, 2024 - SIAM
A retrospective analysis process for the mean field games system (MFGS) is considered. For
the first time, Carleman estimates are applied to the analysis of the MFGS. Two new …
the first time, Carleman estimates are applied to the analysis of the MFGS. Two new …
[图书][B] Heavy traffic analysis of controlled queueing and communication networks
HJ Kushner, HJ Kushner - 2001 - Springer
Heavy Traffic Analysis of Controlled Queueing and Communication Networks | SpringerLink
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Skip to main content Advertisement SpringerLink Log in Menu Find a journal Publish with us …
[图书][B] An introduction to stochastic differential equations with reflection
A Pilipenko - 2014 - books.google.com
The main objective of these lecture notes is the study of stochastic equations corresponding
to diffusion processes in a domain with a reflection boundary. It is well known that …
to diffusion processes in a domain with a reflection boundary. It is well known that …