Optimal control of stochastic hybrid system with jumps: a numerical approximation

DOI10.1016/j.cam.2013.10.021zbMath1320.93093OpenAlexW2093940742MaRDI QIDQ2349616

Gerhard-Wilhelm Weber, Busra Zeynep Temocin

Publication date: 17 June 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2013.10.021

zbMATH Keywords

optimal controlMarkov processesstochastic hybrid systemsjump diffusionsswitching approximation

Mathematics Subject Classification ID

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Cites Work

• Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints
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• Average optimal policies in Markov decision drift processes with applications to a queueing and a replacement model
• Application of Reachability Analysis for Stochastic Hybrid Systems to Aircraft Conflict Prediction
• Hybrid Systems: Computation and Control
• Applied stochastic control of jump diffusions
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