Existence of Optimal Controls for Stochastic Jump Processes

DOI10.1137/0317037zbMath0421.49025OpenAlexW2024768155MaRDI QIDQ3854235

C. B. Wan, Mark H. A. Davis

Publication date: 1979

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0317037

zbMATH Keywords

martingalespoint processesmarked point processesoptimal controlsstochastic jump processesoptimal stochastic control

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (10)

Optimality for controlled jump processes: A simple approach ⋮ Optimization of queuing system via stochastic control ⋮ Stochastic control by measure transformation: A general existence result ⋮ A stochastic maximum principle for Markov chains of mean-field type ⋮ Existence of the optimal control for stochastic boundary control problems governed by semilinear parabolic equations ⋮ Unnamed Item ⋮ Optimal control problem regularization for the Markov process with finite number of states and constraints ⋮ Methods to design optimal control of Markov process with finite state set in the presence of constraints ⋮ Towards the optimal control of Markov chains with constraints ⋮ Analytically measurable selection of epsilon optimal transition kernals

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