Approximations for optimal stopping of a piecewise-deterministic process

DOI10.1007/BF02551405zbMath0657.93077OpenAlexW23780305MaRDI QIDQ1111525

Mark H. A. Davis, Oswaldo L. V. Costa

Publication date: 1988

Published in: MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02551405

zbMATH Keywords

piecewise deterministic processdiscretized problems\(\epsilon \) -optimal controldeterministic process with random jumpsstopping problem

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (8)

Finite Horizon Decision Timing with Partially Observable Poisson Processes ⋮ Impulse control of piecewise-deterministic processes ⋮ Gradual-Impulsive Control for Continuous-Time Markov Decision Processes with Total Undiscounted Costs and Constraints: Linear Programming Approach via a Reduction Method ⋮ Numerical method for impulse control of piecewise deterministic Markov processes ⋮ Numerical method for optimal stopping of piecewise deterministic Markov processes ⋮ Optimality conditions for impulsive control of piecewise-deterministic processes ⋮ Optimal strategies for impulse control of piecewise deterministic Markov processes ⋮ Sequential tracking of a hidden Markov chain using point process observations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Probability methods for approximations in stochastic control and for elliptic equations
• Impulse control of piecewise-deterministic processes
• Stochastic optimal control. The discrete time case
• Markov processes: Ray processes and right processes
• Approximations and computational methods for optimal stopping and stochastic impulsive control problems
• Discretization and Weak Convergence in Markov Decision Drift Processes
• Optimal control of piecewise deterministic markov process
• Integro-differential equations associated with optimal stopping time of a piecewise-deterministic process
• Approximation and bounds in discrete event dynamic programming
• Optimal stopping of a piecewise-deterministic markov process
• Optimal Control with State-Space Constraint. II
• Optimal capacity expansion under uncertainty
• Continuous time markov decision processes with interventions
• Strongly supermedian functions and optimal stopping
• Convergence of discretization procedures in dynamic programming
• The Representation of Martingales of Jump Processes
• Temps d'arrÊt optimal, théorie générale des processus et processus de Markov

This page was built for publication: Approximations for optimal stopping of a piecewise-deterministic process