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
• Network stability under max-min fair bandwidth sharing
• Markov Set-Chains as Abstractions of Stochastic Hybrid Systems
• Approximations of time-dependent unreliable flow lines with finite buffers
• Singular perturbation for the discounted continuous control of piecewise deterministic Markov processes
• Robust delay-range-dependent stabilization for Markovian jump systems with mode-dependent time delays and nonlinearities
• A coupled system of integrodifferential equations arising in liquidity risk model
• Ergodic optimization of stochastic differential systems in wireless networks
• The vanishing discount approach for the average continuous control of piecewise deterministic Markov processes
• Estimating stochastic dynamical systems driven by a continuous-time jump Markov process
• Invariant density, Lyapunov exponent, and almost sure stability of Markovian-regime-switching linear systems
• Constraint-based analysis of concurrent probabilistic hybrid systems: an application to networked automation systems
• Total duration of negative surplus for the risk model with debit interest
• Engineering constraint solvers for automatic analysis of probabilistic hybrid automata
• Commodity storage with durable shocks: a simple Markovian model
• Solutions for the linear-quadratic control problem of Markov jump linear systems
• Asymptotic expansion and central limit theorem for multiscale piecewise-deterministic Markov processes
• Control of dynamic systems under the influence of singularly perturbed Markov chains
• Optimal dividend strategies for a compound Poisson process under transaction costs and power utility
• Stochastic system controller synthesis for reachability specifications encoded by random sets
• Control improvement for jump-diffusion processes with applications to finance
• Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility
• Interacting multi-class transmissions in large stochastic networks
• Criterion on stability for Markov processes applied to a model with jumps
• Semigroup-theoretic approach to diffusion in thin layers separated by semi-permeable membranes
• QNQL processes -- \((H,Q)\)-processes and their applications
• Modeling diffusion in thin 2D layers
• On nonlinear discrete-time systems driven by Markov chains
• Numerical method for impulse control of piecewise deterministic Markov processes
• Sharp bounds for the first eigenvalue of symmetric Markov processes and their applications
• The time to ruin for a class of Markov additive risk process with two-sided jumps
• Optimal control of piecewise deterministic Markov processes
• Lectures on the use of control theory in insurance
• Automated verification and synthesis of stochastic hybrid systems: a survey
• Frequency-domain analysis of aperiodic control loops with identically distributed delays
• Characterization of Matrix-Exponential Distributions
• Methods to design optimal control of Markov process with finite state set in the presence of constraints
• Using methods of stochastic control to prevent overloads in data transmission networks
• A dynamic contagion process
• A model of optimal consumption under liquidity risk with random trading times
• An implicit finite volume scheme for a scalar hyperbolic problem with measure data related to piecewise deterministic Markov processes
• Numerical treatment of a Volterra integral equation with space maps
• Optimization of queuing system via stochastic control
• State constrained reachability for stochastic hybrid systems
• Decay of tails at equilibrium for FIFO join the shortest queue networks
• Stochastic hybrid system with non-homogeneous jumps

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