Optimal control of a jump process

DOI10.1007/BF00736046zbMath0349.60084OpenAlexW1968491092MaRDI QIDQ4119924

Mark H. A. Davis, Robert J. Elliott

Publication date: 1977

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00736046

Mathematics Subject Classification ID

Related Items (11)

The optimal control of a two-parameter jump process ⋮ Optimization of queuing system via stochastic control ⋮ Heat release by controlled continuous-time Markov jump processes ⋮ A general optimality conditions for stochastic control problems of jump diffusions ⋮ A stochastic maximum principle for Markov chains of mean-field type ⋮ Near optimality conditions in stochastic control of jump diffusion processes ⋮ 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 ⋮ A stochastic maximum principle for systems with jumps, with applications to finance. ⋮ A representation theory for the impulse control of jump processes

Cites Work

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• Controlled jump processes
• Levy functionals and jump process martingales
• Levy systems and absolutely continuous changes of measure for a jump process
• Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
• Stochastic integrals for martingales of a jump process with partially accessible jump times
• The Representation of Martingales of Jump Processes
• The Optimal Control of a Stochastic System
• Optimal Control of Jump Processes
• Dynamic Programming Conditions for Partially Observable Stochastic Systems

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