scientific article; zbMATH DE number 425394

zbMATH Open0780.60002MaRDI QIDQ3136505FDOQ3136505

Authors: Mark H. A. Davis 

Publication date: 5 October 1993

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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
• Random dynamical systems with jumps
• Hybrid behaviour of Markov population models
• Mean-field analysis of hybrid Markov population models with time-inhomogeneous rates
• Stability analysis for stochastic hybrid systems: a survey
• Averaging for a Fully Coupled Piecewise-Deterministic Markov Process in Infinite Dimensions
• Stochastic stability of linear systems with semi-Markovian jump parameters
• PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS
• Asymptotic stability of solutions to Volterra-renewal integral equations with space maps
• Approximation of Optimal Reinsurance and Dividend Payout Policies
• Convergence of stochastic gene networks to hybrid piecewise deterministic processes
• Approximation metrics based on probabilistic bisimulations for general state-space Markov processes: a survey
• On the optimal dividend problem for insurance risk models with surplus-dependent premiums
• The central limit theorem for random dynamical systems
• Double Optimal Stopping in the Fishing Problem
• A separation principle for the \(H_{2}\)-control of continuous-time infinite Markov jump linear systems with partial observations
• Simulation-based optimization of Markov reward processes
• Optimal proportional reinsurance policies for diffusion models
• Exponential \(H_{\infty }\) filtering for time-varying delay systems: Markovian approach
• Hybrid dynamics of stochastic programs
• Randomized Hamiltonian Monte Carlo as scaling limit of the bouncy particle sampler and dimension-free convergence rates
• Qualitative properties of certain piecewise deterministic Markov processes
• Controlled diffusion models for optimal dividend pay-out
• Coordinate sampler: a non-reversible Gibbs-like MCMC sampler
• Stability results for a general class of interacting point processes dynamics, and applications
• On the expectation of total discounted operating costs up to default and its applications
• Asymptotic independence of queues under randomized load balancing
• Non-equilibrium thermodynamics of piecewise deterministic Markov processes
• The limiting dynamics of a bistable molecular switch with and without noise
• On the total operating costs up to default in a renewal risk model
• Strategic financial risk management and operations research
• Manufacturing systems with random breakdowns and deteriorating items
• Optimal control of semi-Markov processes with a backward stochastic differential equations approach
• Long time behavior of telegraph processes under convex potentials
• Transport processes with random jump rate
• Spatio-temporal averaging for a class of hybrid systems and application to conductance-based neuron models
• Impulsive control for continuous-time Markov decision processes: a linear programming approach
• Brownian inventory models with convex holding cost. I: Average-optimal controls
• Subgeometric rates of convergence of \(f\)-ergodic strong Markov processes
• Self-triggered linear quadratic control
• Sequential tracking of a hidden Markov chain using point process observations
• A linear programming formulation for constrained discounted continuous control for piecewise deterministic Markov processes
• Modeling of applied problems by stochastic systems and their analysis using the moment equations
• Separation of time-scales and model reduction for stochastic reaction networks
• Some simple but challenging Markov processes
• Probabilistic reachability and safety for controlled discrete time stochastic hybrid systems

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