Near-optimal controls of differential systems with switching and random jumps subject to fast switching and wideband noise perturbation

DOI10.1007/S10255-016-0550-4zbMath1338.49039OpenAlexW2335842646MaRDI QIDQ272784

F. Blanchet-Sadri, M. Dambrine

Publication date: 21 April 2016

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-016-0550-4

zbMATH Keywords

regime switchingdifferential systemsmartingale problemcontinuous-time Markov chainjump-diffusionnear-optimal controlsrelaxed controlwideband noise

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Diffusion processes (60J60) Ordinary differential equations and systems with randomness (34F05) Continuous-time Markov processes on discrete state spaces (60J27) Existence of optimal solutions to problems involving randomness (49J55)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Continuous-time Markov chains and applications. A two-time-scale approach
• Relaxed variational problems
• Hybrid switching diffusions. Properties and applications
• Continuous-time Markov decision processes. Theory and applications
• Semigroups of conditioned shifts and approximation of Markov processes
• Weak convergence methods and singularly perturbed stochastic control and filtering problems
• Stability of Regime-Switching Jump Diffusions
• Nearly Optimal State Feedback Controls for Stochastic Systems with Wideband Noise Disturbances
• Stability and Control of Stochastic Systems with Wide-band Noise Disturbances. I
• On stochastic relaxed control for partially observed diffusions
• Necessary and Sufficient Dynamic Programming Conditions for Continuous Time Stochastic Optimal Control
• Aggregation of Variables in Dynamic Systems

This page was built for publication: Near-optimal controls of differential systems with switching and random jumps subject to fast switching and wideband noise perturbation