Techniques probabilistes dans le contrôle impulsionnel

DOI10.1080/17442507908833130zbMath0404.49012OpenAlexW1994013259MaRDI QIDQ4189707

Jean-Pierre Lepeltier, B. Marchal

Publication date: 1979

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442507908833130

zbMATH Keywords

Quasi-Variational InequalityBellman's PrincipleContinuous Time Markov ProcessOptimal Impulse Control Problems

Mathematics Subject Classification ID

Variational inequalities (49J40) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (9)

Optimal switching among a finite number of Markov processes ⋮ Convex inequalities in stochastic control ⋮ Impulse control problem with switching technology ⋮ Optimal impulse control problems for degenerate diffusions with jumps ⋮ Separation principle for impulse control with partial information ⋮ Local optimality conditions for optimal stopping ⋮ A representation theory for the impulse control of jump processes ⋮ Solution examples of an impulse control problem ⋮ Un modéle d'lnspections optimales

Cites Work

• Nouvelles méthodes en contrôle impulsionnel
• Approximations and computational methods for optimal stopping and stochastic impulsive control problems
• Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
• Dynamic Programming Conditions for Partially Observable Stochastic Systems

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