Switching control of piecewise-deterministic processes

DOI10.1007/BF00939868zbMath0631.93079WikidataQ60231298 ScholiaQ60231298MaRDI QIDQ1095107

Yu-Chung Liao, Suzanne M. Lenhart

Publication date: 1988

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

integro-differential equationsiterative approximationdynamic programming equationdiscrete switching control costsoptimal stopping time problemspiecewise-deterministic processes

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Integro-partial differential equations (45K05) Dynamic programming (90C39) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items

Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes, Sequential tracking of a hidden Markov chain using point process observations

Cites Work

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• Optimal Switching for Ordinary Differential Equations
• A System of Nonlinear Partial Differential Equations Arising in the Optimal Control of Stochastic Systems with Switching Costs