Control problem for the Markov-modulated Poisson process in the diffusion schema

DOI10.30970/MS.64.1.99-106MaRDI QIDQ6905489zbMATH OpenFDO

Authors S. A. Semenyuk, Ya. M. Chabanyuk, R. A. Chypurko, A. A. Lytvyn

Publication date 6 November 2025

Published in Matematychni Studiï (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.30970/MS.64.1.99-106

zbMATH Keywords

stochastic optimizationdiffusion approximationrandom evolutionMarkov-modulated Poisson process

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Cites work

• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• Control problem for the impulse process under stochastic optimization procedure and Lévy conditions
• Fluctuations of a stochastic system under an asymptotic diffusive perturbation
• Long term average cost control problems without ergodicity
• Qualitative and asymptotic analysis of differential equations with random perturbations.
• Stochastic evolution under Markov-modulated Poisson perturbation in the diffusion approximation scheme
• Stochastic evolutionary system with Markov-modulated Poisson perturbations in the averaging schema
• Stochastic modeling in economics and finance.
• Stochastic systems in merging phase space.
• The Markov-modulated Poisson process (MMPP) cookbook

This page was built for publication: Control problem for the Markov-modulated Poisson process in the diffusion schema

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6905489)