Impulse control of piecewise deterministic Markov processes

DOI10.1214/aoap/1177004771zbMath0843.93088OpenAlexW2045649618MaRDI QIDQ1901081

Yanyan Li

Publication date: 15 August 1996

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1177004771

zbMATH Keywords

Markov processesnecessary and sufficient conditionsdynamic controloptimal impulse control

Mathematics Subject Classification ID

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

Related Items (14)

Simultaneous impulse and continuous control of a Markov chain in continuous time ⋮ Optimal control of a class 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 ⋮ Time scale decomposition in production planning for unreliable flexible manufacturing systems ⋮ Turnpikes in flow control models of unreliable manufacturing systems ⋮ Numerical method for impulse control of piecewise deterministic Markov processes ⋮ Change-point detection for piecewise deterministic Markov processes ⋮ Optimal strategies for impulse control of piecewise deterministic Markov processes ⋮ Stopped decision processes in conjunction with general utility ⋮ On Reducing a Constrained Gradual-Impulsive Control Problem for a Jump Markov Model to a Model with Gradual Control Only ⋮ On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance ⋮ Optimal Impulse Control of Dynamical Systems ⋮ Optimal Central Bank intervention in the foreign exchange market ⋮ On the equivalence of the integral and differential Bellman equations in impulse control problems

This page was built for publication: Impulse control of piecewise deterministic Markov processes