Optimality for controlled jump processes: A simple approach

DOI10.1007/BF01210270MaRDI QIDQ1341471zbMATH OpenFDO

Authors Siu Fai Leung

Publication date 5 January 1995

Published in Economic Theory (Search for Journal in Brave)

zbMATH Keywords

optimizationoptimal controlBellman's principlejump processes

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3126094 (Why is no real title available?)
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• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
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• Bang-bang controls of point processes
• Continuously Discounted Markov Decision Model with Countable State and Action Space
• Controlled jump processes
• Existence of Optimal Controls for Stochastic Jump Processes
• Finite State Continuous Time Markov Decision Processes with a Finite Planning Horizon
• Finite state continuous time Markov decision processes with an infinite planning horizon
• Necessary and Sufficient Conditions for Optimal Control of Semi-Markov Jump Processes
• Optimal Control of Jump Processes
• Optimal control of a poisson source
• Optimality for completely observed controlled jump processes

Cited in

(7)

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• Calibration of a Jump-Diffusion Process Using Optimal Control
• scientific article; zbMATH DE number 6506943 (Why is no real title available?)
• Optimal Interventions in Countable Jump Markov Processes
• The existence, uniqueness, and optimality of the terminal wealth depletion time in life-cycle models of saving under uncertain lifetime and borrowing constraint
• scientific article; zbMATH DE number 3923820 (Why is no real title available?)
• Optimal control problem associated with jump processes

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