Optimal Control of Jump Processes

Cited In (40)

Optimal control of a jump process
On signalling and estimation limits for molecular birth-processes
Stackelberg game approach to mixed stochastic \(H_2 /H_{\infty}\) control for mean-field jump-diffusions systems
On near-optimal necessary and sufficient conditions for forward-backward stochastic systems with jumps, with applications to finance.
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
A stochastic maximum principle for Markov chains of mean-field type
Analytically measurable selection of epsilon optimal transition kernals
Analysis of airline seat control with region factor
Backward stochastic differential equations with Markov switching driven by Brownian motion and Poisson random measure
Optimal switching problems of tandem type
Control of jump processes and applications
Optimal control of semi-Markov processes with a backward stochastic differential equations approach
Stochastic control by measure transformation: A general existence result
Control: a perspective
A stochastic maximum principle for systems with jumps, with applications to finance.
A differential game with jump process observations
On the optimal control of stochastic systems with an exponential-of- integral performance index
Optimization of queuing system via stochastic control
Stochastic \(H_{2}/H_{\infty}\) control for Poisson jump-diffusion systems
\(\mathscr{H}_-\) index for Itô stochastic systems with Poisson jump
Proper representation and optimal control of a non-linear stochastic system
Control and observation for dynamical queueing networks. I
Control and observation for dynamical queueing networks. II.
Optimality for controlled jump processes: A simple approach
Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusions
The Output Feedback <scp>H</scp>_∞ Control Design for the Linear Stochastic System Driven by Both Brownian Motion and <scp>P</scp>oisson Jumps: A Nonlinear Matrix Inequality Approach
A representation theory for the impulse control of jump processes
Optimality of an affine intensity policy for maximizing the probability of an arrival count in point-process intensity control
An invariance principle in large population stochastic dynamic games
Proper representation and optimal control of a non-linear stochastic system
Linear quadratic stochastic optimal control of forward backward stochastic control system associated with Lévy process
Backward stochastic differential equations associated to jump Markov processes and applications
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\(H_\infty\) control for stochastic systems with Poisson jumps
Near optimality conditions in stochastic control of jump diffusion processes
A partially observed control problem for Markov chains
The \(H_{\infty}\) control for bilinear systems with Poisson jumps
Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes
On the finite horizon Bellman equation for controlled Markov jump models with unbounded characteristics: Existence and approximation

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