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)

• Network stability under max-min fair bandwidth sharing
• Markov Set-Chains as Abstractions of Stochastic Hybrid Systems
• Optimal Control of Piecewise Deterministic Markov Processes
• 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
• 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
• MDP algorithms for portfolio optimization problems in pure jump markets
• Asymptotic optimality of tracking policies in stochastic networks.
• Piecewise deterministic Markov processes applied to fatigue crack growth modelling
• Quadratic control of stochastic hybrid systems with renewal transitions
• Subgeometric ergodicity of strong Markov processes
• A stochastic control model for optimal timing of climate policies
• On occupation times for a risk process with reserve-dependent premium
• Singularly perturbed Markov chains: limit results and applications
• Backward stochastic partial differential equations related to utility maximization and hedging
• Dynamics of the time to the most recent common ancestor in a large branching population
• Pointwise and Renyi dimensions of an invariant measure of random dynamical systems with jumps
• On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance
• An impulse control of a geometric Brownian motion with quadratic costs
• Stochastic Satisfiability Modulo Theory: A Novel Technique for the Analysis of Probabilistic Hybrid Systems
• Optimality of impulse harvesting policies
• A two-factor stochastic production model with two time scales
• A stochastic SIS infection model incorporating indirect transmission
• Numerical method for optimal stopping of piecewise deterministic Markov processes
• Central limit theorems and diffusion approximations for multiscale Markov chain models
• Optimal control problem regularization for the Markov process with finite number of states and constraints
• Infection time in multistable gene networks. A backward stochastic variational inequality with nonconvex switch-dependent reflection approach
• Intervention options in life insurance
• On the exact asymptotics of the busy period in GI/G/1 queues
• Self-adaptive congestion control for multiclass intermittent connections in a communication network
• On the use of Lyapunov methods in renewal theory
• Optimal strategies for impulse control of piecewise deterministic Markov processes
• Abel-type results for controlled piecewise deterministic Markov processes
• A Note on Insensitivity in Stochastic Networks
• Markov renewal and piecewise deterministic processes
• A piecewise deterministic Markov toy model for traffic/maintenance and associated Hamilton-Jacobi integrodifferential systems on networks
• Stability of join the shortest queue networks
• A stochastic minimum principle and an adaptive pathwise algorithm for stochastic optimal control
• 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

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