Impulse and continuous control of piecewise deterministic Markov processes

DOI10.1080/17442500008834246MaRDI QIDQ4504923zbMATH OpenOpenAlexFDO

Authors C. A. B. Raymundo, Oswaldo Luiz V. Costa

Publication date 20 March 2001

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442500008834246

zbMATH Keywords

continuous controlimpulse controlPiecewise-deterministic Markov processes

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)

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Cited in

(15)

• Sequential tracking of a hidden Markov chain using point process observations
• On ergodic stopping and impulsive control problem for nonuniformly ergodic Markov processes
• Impulse control of piecewise-deterministic processes
• Duality in optimal impulse control
• Exploration and exhaustibility in dynamic Cournot games
• Optimal stopping with continuous control of piecewise deterministic Markov processes
• Optimal control of partially observable piecewise deterministic Markov processes
• On gradual-impulse control of continuous-time Markov decision processes with exponential utility
• On the equivalence of the integral and differential Bellman equations in impulse control problems
• Gradual-Impulsive Control for Continuous-Time Markov Decision Processes with Total Undiscounted Costs and Constraints: Linear Programming Approach via a Reduction Method
• On reducing a constrained gradual-impulsive control problem for a jump Markov model to a model with gradual control only
• Optimal Impulse Control of Dynamical Systems
• Impulsive Control for Continuous-Time Markov Decision Processes
• Discretizations for the average impulse control of piecewise deterministic processes
• Simultaneous impulse and continuous control of a Markov chain in continuous time

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