73 citations · 77 across the 9 of their papers we have counts for
4 papers · 1 filter
Convergence of Finite Element Methods for Singular Stochastic Control
Martin G. Vieten, Richard H. Stockbridge
A numerical method is proposed for a class of stochastic control problems including singular behavior. This method solves an infinite-dimensional linear program equivalent to the s…
Linear Programming Formulations of Singular Stochastic Control Problems: Time-Homogeneous Problems
Thomas G. Kurtz, Richard H. Stockbridge
Conditions are established under which the optimal control of processes having both absolutely continuous and singular (with respect to time) controls are equivalent to linear prog…
A Counterintuitive Example in Inventory Management
Kurt L. Helmes, Richard H. Stockbridge, Chao Zhu
The paper \cite{helm:17} studies an inventory management problem under a long-term average cost criterion using weak convergence methods applied to average expected occupation and…
A Weak Convergence Approach to Inventory Control Using a Long-term Average Criterion
Kurt L. Helmes, Richard H. Stockbridge, Chao Zhu
This paper continues the examination of inventory control in which the inventory is modelled by a diffusion process and a long-term average cost criterion is used to make decisions…