scientific article; zbMATH DE number 425394

zbMATH Open0780.60002MaRDI QIDQ3136505FDOQ3136505

Authors: Mark H. A. Davis 

Publication date: 5 October 1993

Title of this publication is not available (Why is that?)

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zbMATH Keywords

quasi-variational inequalitiesstationary distributionsBellman equationsimbedded Markov chains

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Optimal stochastic control (93E20)

Cited In (only showing first 100 items - show all)

• Modified log-Sobolev inequality for a compact pure jump Markov process with degenerate jumps
• Finite-time cluster synchronization for a class of fuzzy cellular neural networks via non-chattering quantized controllers
• The Markovian shot-noise risk model: a numerical method for Gerber-Shiu functions
• The first exit time and ruin time for a risk process with reserve-dependent income.
• Optimal cash management problem for compound Poisson processes with two-sided jumps
• Smooth invariant densities for random switching on the torus
• Optimal stopping for partially observed piecewise-deterministic Markov processes
• Finite-time synchronization of coupled Markovian discontinuous neural networks with mixed delays
• Large deviations of the current in stochastic collisional dynamics
• Minimizing capital injections by investment and reinsurance for a piecewise deterministic reserve process model
• Self-exciting jump processes with applications to energy markets
• On the optimal importance process for piecewise deterministic Markov process
• Optimal guaranteed cost synchronization of coupled neural networks with Markovian jump and mode-dependent mixed time-delay
• Stochastic models of neural synaptic plasticity
• Fluctuations of the empirical measure of freezing Markov chains
• Aggregated occupation measures and linear programming approach to constrained impulse control problems
• Large deviations of empirical measures of diffusions in weighted topologies
• Telegraph random evolutions on a circle
• On some impulse control problems with constraint
• On some optimal stopping problems with constraint
• Approximation methods for piecewise deterministic Markov processes and their costs
• Control of singularly perturbed Markov chains: A numerical study
• Lower bound for the coarse Ricci curvature of continuous-time pure-jump processes
• Exact simulation of the jump times of a class of piecewise deterministic Markov processes
• Piecewise closed-loop equilibria in differential games with regime switching strategies
• Optimal control of infinite-dimensional piecewise deterministic Markov processes and application to the control of neuronal dynamics via optogenetics
• Continuous-time Markov decision processes with exponential utility
• Integro-differential optimality equations for the risk-sensitive control of piecewise deterministic Markov processes
• Insurance and climate-driven extreme events
• Geometric ergodicity for piecewise contracting processes with applications for tropical stochastic lattice models
• Asymptotic stability in the distribution of nonlinear stochastic systems with semi-Markovian switching
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• Greedy vector quantization
• Optimal market making under partial information with general intensities
• Optimal stopping time on semi-Markov processes with finite horizon
• A methodology for probabilistic model-based prognosis
• Adaptive discounted control for piecewise deterministic Markov processes
• Peskun-Tierney ordering for Markovian Monte Carlo: beyond the reversible scenario
• Exponential ergodicity in the bounded-Lipschitz distance for some piecewise-deterministic Markov processes with random switching between flows
• Long-time behavior and Darwinian optimality for an asymmetric size-structured branching process
• Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation
• Safety of stochastic systems: an analytic and computational approach
• Ergodic switching control for diffusion-type processes
• Exploration and exhaustibility in dynamic Cournot games
• On the Gerber-Shiu discounted penalty function for a surplus process described by PDMPs
• Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function
• A new characterization of the jump rate for piecewise-deterministic Markov processes with discrete transitions
• Exponential rate of convergence of an infinite neuron model with local connections
• Properties of fluid limit for closed queueing network with two multi-servers
• Fluid limit for switching closed queueing network with two multi-servers
• Nonparametric estimation for a class of piecewise-deterministic Markov processes
• Risk-sensitive stopping problems for continuous-time Markov chains
• Change-point detection for piecewise deterministic Markov processes
• Numerical methods for the exit time of a piecewise-deterministic Markov process
• Probabilistic and piecewise deterministic models in biology
• Ruin theory for the risk process described by PDMPs
• Optimal Control of a Partially Observable Failing System with Costly Multivariate Observations
• A piecewise deterministic limit for a multiscale stochastic spatial gene network
• Existence of open loop Nash equilibria in certain types of nonlinear differential games
• On a stochastic demand jump inventory model
• A master equation approach to option pricing
• Imitation and experimentation in changing contests
• Existence of optimal feedback production plans in stochastic flowshops with limited buffers
• Random dynamical systems with jumps and with a function-type intensity
• Singularities of invariant densities for random switching between two linear ODEs in 2D
• Structural properties of Markov chains with weak and strong interactions
• Optimal channel choice for lossy data flow transmission
• Markov skeleton processes
• Analytic solutions for stochastic hybrid models of gene regulatory networks
• On piecewise linear processes
• Partially mode-dependent design of \(H_{\infty }\) filter for stochastic Markovian jump systems with mode-dependent time delays
• A general verification result for stochastic impulse control problems
• Martingales and the distribution of the time to ruin.
• Sequential testing of simple hypotheses about compound Poisson processes
• Adaptive Poisson disorder problem
• Zig-Zag Sampling for Discrete Structures and Nonreversible Phylogenetic MCMC
• An optimal stopping problem for a geometric Brownian motion with Poissonian jumps
• A compositional modelling and analysis framework for stochastic hybrid systems
• The superposition of alternating on-off flows and a fluid model
• Optimal feedback production planning in a stochastic \(N\)-machine flowshop
• Stochastic hybrid control
• Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions
• The policy iteration algorithm for average continuous control of piecewise deterministic Markov processes
• Special weak Dirichlet processes and BSDEs driven by a random measure
• On the optimal dividend strategy in a regime-switching diffusion model
• Splitting tessellations in spherical spaces
• An impulse control problem of a production model with interruptions to follow stochastic demand
• Stationary analysis of a single queue with remaining service time-dependent arrivals
• Computing the joint distribution of the total tree length across loci in populations with variable size
• A random cloud model for the Wigner equation
• Existence of invariant densities for semiflows with jumps
• Periodic maintenance and repair rate control in stochastic manufacturing systems
• A risk model with renewal shot-noise Cox process
• Events and piecewise deterministic dynamics in event-enhanced quantum theory
• Zero-sum continuous-time Markov pure jump game over a fixed duration
• The dynamics of Pareto distributed wealth in a small open economy
• Zero-sum discounted reward criterion games for piecewise deterministic Markov processes
• Optimal control of partially observable piecewise deterministic Markov processes
• Impulsive synchronization of Markovian jumping randomly coupled neural networks with partly unknown transition probabilities via multiple integral approach
• A random walk model for the Schrödinger equation

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