Existence of Optimal Controls for Stochastic Jump Processes

DOI10.1137/0317037MaRDI QIDQ3854235zbMATH OpenOpenAlexFDO

Authors C. B. Wan, Mark H. A. Davis

Publication date 1979

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0317037

zbMATH Keywords

marked point processesmartingalesoptimal controlsoptimal stochastic controlpoint processesstochastic jump processes

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Sums of independent random variables; random walks (60G50) Optimal stochastic control (93E20)

Cited in

(10)

• Stochastic control by measure transformation: A general existence result
• Optimality for controlled jump processes: A simple approach
• A stochastic maximum principle for Markov chains of mean-field type
• Existence of the optimal control for stochastic boundary control problems governed by semilinear parabolic equations
• Optimization of queuing system via stochastic control
• Analytically measurable selection of epsilon optimal transition kernals
• scientific article; zbMATH DE number 3745962 (Why is no real title available?)
• Optimal control problem regularization for the Markov process with finite number of states and constraints
• Methods to design optimal control of Markov process with finite state set in the presence of constraints
• Towards the optimal control of Markov chains with constraints

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