Optimal control of a jump process

DOI10.1007/BF00736046MaRDI QIDQ4119924zbMATH OpenOpenAlexFDO

Authors Mark H. A. Davis, Robert J. Elliott

Publication date 1977

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00736046

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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Cites work

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• Levy functionals and jump process martingales
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• Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
• Optimal Control of Jump Processes
• Stochastic integrals for martingales of a jump process with partially accessible jump times
• The Optimal Control of a Stochastic System
• The Representation of Martingales of Jump Processes

Cited in

(23)

• The optimal control of a two-parameter jump process
• Optimal control in a differential-difference system with a random quantization in time
• Optimality for controlled jump processes: A simple approach
• A stochastic maximum principle for Markov chains of mean-field type
• A stochastic maximum principle for systems with jumps, with applications to finance.
• Optimal control problem associated with jump processes
• Control of jump-like processes in constrained problems
• Heat release by controlled continuous-time Markov jump processes
• Optimization of queuing system via stochastic control
• Calibration of a Jump-Diffusion Process Using Optimal Control
• scientific article; zbMATH DE number 6506943 (Why is no real title available?)
• scientific article; zbMATH DE number 3923820 (Why is no real title available?)
• scientific article; zbMATH DE number 3745962 (Why is no real title available?)
• A representation theory for the impulse control of jump processes
• A general optimality conditions for stochastic control problems of jump diffusions
• 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
• Necessary and Sufficient Conditions for Optimal Control of Semi-Markov Jump Processes
• Optimal Interventions in Countable Jump Markov Processes
• Optimal control of jump-diffusion processes with random parameters
• Near optimality conditions in stochastic control of jump diffusion processes
• Optimal control of uncertain systems with jump under optimistic value criterion
• Optimal control with delay of jump random processes

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