Switching control of piecewise-deterministic processes

DOI10.1007/BF00939868zbMath0631.93079WikidataQ60231298 ScholiaQ60231298MaRDI QIDQ1095107

Yu-Chung Liao, Suzanne M. Lenhart

Publication date: 1988

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

integro-differential equations; iterative approximation; dynamic programming equation; discrete switching control costs; optimal stopping time problems; piecewise-deterministic processes

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

45K05: Integro-partial differential equations

90C39: Dynamic programming

93E20: Optimal stochastic control

60G40: Stopping times; optimal stopping problems; gambling theory

Related Items

Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes, Sequential tracking of a hidden Markov chain using point process observations

Cites Work

• Optimal control of a one-dimensional storage process
• Gradient bounds for solutions of degenerate variational inequalities
• Optimal control of piecewise deterministic markov process
• Integro-differential equations associated with optimal stopping time of a piecewise-deterministic process
• Optimal stopping of a piecewise-deterministic markov process
• Optimal Control with State-Space Constraint. II
• Optimal Switching for Ordinary Differential Equations
• A System of Nonlinear Partial Differential Equations Arising in the Optimal Control of Stochastic Systems with Switching Costs
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