On Reducing a Jump Controllable Markov Model to a Model with Discrete Time

DOI10.1137/1125005MaRDI QIDQ3905099zbMATH OpenOpenAlexFDO

Authors Alexander A. Yushkevich

Publication date 1980

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/1125005

zbMATH Keywords

Borel action spaceBorel state spacecontinuous timediscrete timeepsilon-optimal Markov strategyjump modelmodel reduction

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40) Discrete-time control/observation systems (93C55) Model systems in control theory (93C99)

Cited in

(22)

• Finite horizon continuous-time Markov decision processes with mean and variance criteria
• Optimal control of infinite-dimensional piecewise deterministic Markov processes and application to the control of neuronal dynamics via optogenetics
• On risk-sensitive piecewise deterministic Markov decision processes
• A useful technique for piecewise deterministic Markov decision processes
• Constrained and unconstrained optimal discounted control of piecewise deterministic Markov processes
• Optimal control of continuous-time Markov chains with noise-free observation
• Realizable strategies in continuous-time Markov decision processes
• Optimal control of partially observable piecewise deterministic Markov processes
• Risk-sensitive discounted continuous-time Markov decision processes with unbounded rates
• On gradual-impulse control of continuous-time Markov decision processes with exponential utility
• Optimal control of piecewise deterministic Markov processes
• Sufficiency of Markov policies for continuous-time jump Markov decision processes
• Hamilton-Jacobi-Bellman inequality for the average control of piecewise deterministic Markov processes
• Gradual-Impulsive Control for Continuous-Time Markov Decision Processes with Total Undiscounted Costs and Constraints: Linear Programming Approach via a Reduction Method
• Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation
• On reducing a constrained gradual-impulsive control problem for a jump Markov model to a model with gradual control only
• Optimal control of semi-Markov processes with a backward stochastic differential equations approach
• Continuous-time Markov decision processes with exponential utility
• Continuous-Time Markov Decision Processes with Unbounded Transition and Discounted-Reward Rates
• Nonzero-sum discounted piecewise deterministic Markov games with boundary impulsive controls
• Non-local Hamilton-Jacobi-Bellman equations for the stochastic optimal control of path-dependent piecewise deterministic processes
• Minimum contrast estimators for piecewise deterministic Markov processes

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