Control of dams using \(P^M_{\lambda,\tau}\) policies when the input process is a nonnegative Lévy process

DOI10.1155/2011/916952zbMath1235.93258OpenAlexW2005934474WikidataQ58688951 ScholiaQ58688951MaRDI QIDQ655232

Mohamed Abdel-Hameed

Publication date: 3 January 2012

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2011/916952

zbMATH Keywords

Poisson processLévy processcontrol of damspotential of dam content

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Application models in control theory (93C95) Optimal stochastic control (93E20) Stochastic systems in control theory (general) (93E03)

Cites Work

• Unnamed Item
• Stochastic processes. A survey of the mathematical theory
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• Some remarks on first passage of Lévy processes, the American put and pasting principles
• Optimal control of a finite dam using P^M_λΤ policies and penalty cost: total discounted and long run average cases
• Optimal control of a finite dam: Wiener process input
• P_λ^M-policy for a dam with input formed by a compound Poisson process
• Average cost under the P^M_{λ, τ} policy in a finite dam with compound Poisson inputs
• Optimal control of a dam using P_λ,τ^M policies and penalty cost when the input process is a compound Poisson process with positive drift

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