Optimal control of jump-diffusion processes with random parameters

DOI10.56415/basm.y2022.i3.p22OpenAlexW4380149092MaRDI QIDQ6082421

Mario Lefebvre

Publication date: 29 November 2023

Published in: Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.56415/basm.y2022.i3.p22

zbMATH Keywords

optimal controldynamic programmingcontrolled jump diffusioncontrol up to exit timeMarkov modulated jump diffusion

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Jump processes on discrete state spaces (60J74)

Cites Work

• Explicit solution for a vector-valued LQG homing problem
• Optimally ending an epidemic
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