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A numerical method for stochastic singular control problems with nonadditive controls

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Applied Stochastic Analysis

Part of the book series: Lecture Notes in Control and Information Sciences ((LNCIS,volume 177))

Abstract

We consider stochastic systems with “singular” controls, where the control might be non-additive. It is shown that the Markov chain approximation method yields a convergent numerical method.

This work is supported in part by Grants AFOSR 89-0015, ARO-DAAL-03-86-0171, NSF-ECS 89-13351.

Also in Mathematics Dept. of Universidade Feleral de Rio Grande do Sul. Supported in part by NSF-ECS 89-13351.

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References

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Author information

Authors and Affiliations

  1. Division of Applied Mathematics, Brown University, Box F, 02912, Providence, R.I.

    Harold J. Kushner & Luiz F. Martins

Authors
  1. Harold J. Kushner
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  2. Luiz F. Martins
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Editor information

Ioannis Karatzas Daniel Ocone

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© 1992 Springer-Verlag

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Kushner, H.J., Martins, L.F. (1992). A numerical method for stochastic singular control problems with nonadditive controls. In: Karatzas, I., Ocone, D. (eds) Applied Stochastic Analysis. Lecture Notes in Control and Information Sciences, vol 177. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0007057

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  • DOI: https://doi.org/10.1007/BFb0007057

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-55296-3

  • Online ISBN: 978-3-540-47017-5

  • eBook Packages: Springer Book Archive

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