Optimal Control of Jump Processes

Cited in

(40)

Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusions
Control and observation for dynamical queueing networks. I
Control and observation for dynamical queueing networks. II.
Control of jump processes and applications
scientific article; zbMATH DE number 3745962 (Why is no real title available?)
On signalling and estimation limits for molecular birth-processes
A mean-field stochastic linear-quadratic optimal control problem with jumps under partial information
A general optimality conditions for stochastic control problems of jump diffusions
\(\mathscr{H}_-\) index for Itô stochastic systems with Poisson jump
A differential game with jump process observations
Optimal control of semi-Markov processes with a backward stochastic differential equations approach
On the optimal control of stochastic systems with an exponential-of- integral performance index
A representation theory for the impulse control of jump processes
Linear quadratic stochastic optimal control of forward backward stochastic control system associated with Lévy process
Stackelberg game approach to mixed stochastic \(H_2 /H_{\infty}\) control for mean-field jump-diffusions systems
Near optimality conditions in stochastic control of jump diffusion processes
Optimization of queuing system via stochastic control
A stochastic maximum principle for Markov chains of mean-field type
On near-optimal necessary and sufficient conditions for forward-backward stochastic systems with jumps, with applications to finance.
The output feedback \(H_{\infty }\) control design for the linear stochastic system driven by both Brownian motion and Poisson jumps: A nonlinear matrix inequality approach
A partially observed control problem for Markov chains
Optimality of an affine intensity policy for maximizing the probability of an arrival count in point-process intensity control
\(H_\infty\) control for stochastic systems with Poisson jumps
The \(H_{\infty}\) control for bilinear systems with Poisson jumps
Optimal control of a jump process
A stochastic maximum principle for systems with jumps, with applications to finance.
Proper representation and optimal control of a non-linear stochastic system
Proper representation and optimal control of a non-linear stochastic system
Analysis of airline seat control with region factor
Backward stochastic differential equations with Markov switching driven by Brownian motion and Poisson random measure
Backward stochastic differential equations associated to jump Markov processes and applications
Stochastic control by measure transformation: A general existence result
An invariance principle in large population stochastic dynamic games
Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes
Stochastic \(H_{2}/H_{\infty}\) control for Poisson jump-diffusion systems
On the finite horizon Bellman equation for controlled Markov jump models with unbounded characteristics: Existence and approximation
Optimal switching problems of tandem type
Analytically measurable selection of epsilon optimal transition kernals
Optimality for controlled jump processes: A simple approach
Control: a perspective

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