The Markov chain approximation method is a widely used, relatively easy to use, and efficient family of methods for the bulk of stochastic control problems in continuous time, for...
In this paper, we consider the optimal policy for a generator offering power into a wholesale electricity market operating under a pool arrangement. Anderson and Philpott [Math. Op...
We consider the problem of minimizing autonomous, simple integrals like (P) min T 0 f x(t) , x (t) dt: x AC([0 , T]) with x(0) = x0 and x(T) = xT where f : R