Approximations for optimal stopping of a piecewise-deterministic process

DOI10.1007/BF02551405MaRDI QIDQ1111525zbMATH OpenOpenAlexFDO

Authors Oswaldo Luiz V. Costa, Mark H. A. Davis

Publication date 1988

Published in MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02551405

zbMATH Keywords

piecewise deterministic processdiscretized problems\(\epsilon \) -optimal controldeterministic process with random jumpsstopping problem

Mathematics Subject Classification ID

Dynamic programming (90C39) Dynamic programming in optimal control and differential games (49L20) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

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Cites work

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• Impulse control of piecewise-deterministic processes
• Integro-differential equations associated with optimal stopping time of a piecewise-deterministic process
• Markov processes: Ray processes and right processes
• Optimal Control with State-Space Constraint. II
• Optimal capacity expansion under uncertainty
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• Optimal stopping of a piecewise-deterministic markov process
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Cited in

(16)

• Optimal stopping of a piecewise-deterministic markov process
• scientific article; zbMATH DE number 4204265 (Why is no real title available?)
• Impulse control of piecewise-deterministic processes
• Gradual-Impulsive Control for Continuous-Time Markov Decision Processes with Total Undiscounted Costs and Constraints: Linear Programming Approach via a Reduction Method
• Optimal stopping for measure-valued piecewise deterministic Markov processes
• Finite Horizon Decision Timing with Partially Observable Poisson Processes
• Numerical method for impulse control of piecewise deterministic Markov processes
• Numerical method for optimal stopping of piecewise deterministic Markov processes
• Optimality conditions for impulsive control of piecewise-deterministic processes
• scientific article; zbMATH DE number 1144389 (Why is no real title available?)
• Optimal stopping with continuous control of piecewise deterministic Markov processes
• Optimal Stopping for Processes with Independent Increments, and Applications
• Sequential tracking of a hidden Markov chain using point process observations
• Optimal strategies for impulse control of piecewise deterministic Markov processes
• Approximation of optimal stopping problems.
• On Deterministic Control Problems: an Approximation Procedure for the Optimal Cost II. The Nonstationary Case

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