Optimal control of piecewise deterministic markov process

DOI10.1080/17442508508833338zbMATH Open0566.93074OpenAlexW2163246781MaRDI QIDQ3682371FDOQ3682371

Authors: Domokos Vermes

Publication date: 1985

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508508833338

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zbMATH Keywords

piecewise deterministic Markov process value function jump behaviour Hamilton-Jacobi- Bellman equation,

Mathematics Subject Classification ID

Convex programming (90C25) Dynamic programming (90C39) Continuous-time Markov processes on general state spaces (60J25) Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

Cites Work

Dynamic Programming and Minimum Principles for Systems with Jump Markov Disturbances
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Analytical design of controllers in stochastic systems with velocity-limited controlling action
The Equivalence of Strong and Weak Formulations for Certain Problems in Optimal Control
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Continuous time markov decision processes with interventions
Extension of Fenchel's duality theorem for convex functions
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A Necessary and Sufficient Condition for Optimality of Dynamic Programming Type, Making No a Priori Assumptions on the Controls

Cited In (64)

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An optimal control problem with a random stopping time
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