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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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