Optimality for controlled jump processes: A simple approach

DOI10.1007/BF01210270zbMath0809.93065MaRDI QIDQ1341471

Siu Fai Leung

Publication date: 5 January 1995

Published in: Economic Theory (Search for Journal in Brave)

zbMATH Keywords

optimizationoptimal controljump processesBellman's principle

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items (1)

The existence, uniqueness, and optimality of the terminal wealth depletion time in life-cycle models of saving under uncertain lifetime and borrowing constraint

Cites Work

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• Controlled jump processes
• Finite state continuous time Markov decision processes with an infinite planning horizon
• Existence of Optimal Controls for Stochastic Jump Processes
• Bang-bang controls of point processes
• Optimal Control of Jump Processes
• Optimality for completely observed controlled jump processes
• Optimal control of a poisson source
• Finite State Continuous Time Markov Decision Processes with a Finite Planning Horizon
• Continuously Discounted Markov Decision Model with Countable State and Action Space
• Necessary and Sufficient Conditions for Optimal Control of Semi-Markov Jump Processes

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