Optimal stopping and control with two kinds of boundary conditions: application to dynamic routeing in networks
作者:
YAAKOV YAVIN,
期刊:
International Journal of Systems Science
(Taylor Available online 1994)
卷期:
Volume 25,
issue 3
页码: 571-579
ISSN:0020-7721
年代: 1994
DOI:10.1080/00207729408928980
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
A stochastic optimal stopping and optimal control problem concerning the dynamic routeing of a randomly perturbed flow is considered. Equations for the solution of the optimal stopping and control problem are given. These equations lead to the solution of an elliptic problem with a given condition on a ‘ free boundary’ within a given domainDand a condition given on the boundary ∂ D of D. An example is given and a numerical study is conducted on it
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