Impulse control of piecewise-deterministic processes

DOI10.1007/BF02551384zbMath0675.93077OpenAlexW2325803657MaRDI QIDQ1122552

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

Publication date: 1989

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

Full work available at URL: https://doi.org/10.1007/bf02551384

zbMATH Keywords

optimal stoppingimpulse controlpiecewise-deterministic process

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (16)

Piecewise deterministic Markov process — recent results ⋮ Approximations for optimal stopping of a piecewise-deterministic process ⋮ Forward equations for reflected diffusions with jumps ⋮ Numerical method for impulse control of piecewise deterministic Markov processes ⋮ On piecewise linear processes ⋮ Optimality conditions for impulsive control of piecewise-deterministic processes ⋮ Optimal strategies for impulse control of piecewise deterministic Markov processes ⋮ An impulse control problem of a production model with interruptions to follow stochastic demand ⋮ Approximation methods for piecewise deterministic Markov processes and their costs ⋮ Unnamed Item ⋮ Inventory management with partially observed nonstationary demand ⋮ On Reducing a Constrained Gradual-Impulsive Control Problem for a Jump Markov Model to a Model with Gradual Control Only ⋮ Sequential tracking of a hidden Markov chain using point process observations ⋮ Stochastic hybrid control ⋮ Optimal Central Bank intervention in the foreign exchange market ⋮ On gradual-impulse control of continuous-time Markov decision processes with exponential utility

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