Comparison between optimal costs for relaxed and non-relaxed control problems with jumps

DOI10.1016/0167-6911(91)90147-7zbMath0746.93077OpenAlexW2004159522MaRDI QIDQ1185310

Laurent Mazliak

Publication date: 28 June 1992

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(91)90147-7

zbMATH Keywords

stochastic control problem with jumps

Mathematics Subject Classification ID

Probabilistic games; gambling (91A60)

Cites Work

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• Point processes and queues. Martingale dynamics
• ON THE SELECTION OF A MARKOV PROCESS FROM A SYSTEM OF PROCESSES AND THE CONSTRUCTION OF QUASI-DIFFUSION PROCESSES
• Compactification methods in the control of degenerate diffusions: existence of an optimal control
• Sur la généralisation de la notion de commande d'un système guidable
• Optimal Continuous-Parameter Stochastic Control

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