Overtaking optimality for controlled Markov-modulated diffusions

DOI10.1080/02331934.2011.565417MaRDI QIDQ3145053zbMATH OpenOpenAlexFDO

Authors Beatris Adriana Escobedo-Trujillo, Onésimo Hernández-Lerma

Publication date 13 December 2012

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331934.2011.565417

zbMATH Keywords

average optimality criteriabias optimalitycontrolled Markov-modulated diffusionsergodicityHamilton-Jacobi-Bellman equationsovertaking optimality

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Diffusion processes (60J60) Optimal stochastic control (93E20)

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Cites work

• A counterexample on overtaking optimality
• Asymptotic Properties of Hybrid Diffusion Systems
• Characterizations of overtaking optimality for controlled diffusion processes
• Conditions for optimality in dynamic programming and for the limit of n-stage optimal policies to be optimal
• Ergodic Control of Switching Diffusions
• scientific article; zbMATH DE number 921048 (Why is no real title available?)
• Hybrid switching diffusions. Properties and applications
• On the notion of weak stability and related issues of hybrid diffusion systems
• On the Poisson equation for singular diffusions
• Optimal Control of Switching Diffusions with Application to Flexible Manufacturing Systems
• Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
• Stochastic Differential Equations with Markovian Switching
• Stock trading: an optimal selling rule
• The Recurrence Structure of General Markov Processes
• Turnpike properties in the calculus of variations and optimal control

Cited in

(4)

• Characterizations of overtaking optimality for controlled diffusion processes
• Overtaking and Almost-Sure Optimality for Infinite Horizon Markov Decision Processes
• Controlled Switching Diffusions Under Ambiguity: The Average Criterion
• Seierstad sufficient conditions for stochastic optimal control problems with infinite horizon

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