Optimality of an affine intensity policy for maximizing the probability of an arrival count in point-process intensity control

DOI10.1016/j.orl.2017.11.003OpenAlexW2770185994MaRDI QIDQ2417046

Boris Defourny

Publication date: 11 June 2019

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2017.11.003

zbMATH Keywords

point processesoptimal stochastic controlaffine decision rulesintensity control

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Related Items (1)

Optimal stochastic control of the intensity of point processes

Cites Work

• Unnamed Item
• Point processes and queues. Martingale dynamics
• Bang-bang controls of point processes
• Optimal Control of Jump Processes
• Optimal Dynamic Pricing of Inventories with Stochastic Demand over Finite Horizons
• An Introduction to the Theory of Point Processes
• Stability and Stabilizability of Switched Linear Systems: A Survey of Recent Results
• Supermodularity and Affine Policies in Dynamic Robust Optimization

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