Ergodic Control of Switching Diffusions
From MaRDI portal
Publication:4377429
Recommendations
Cited in
(80)- Ergodic risk-sensitive control for regime-switching diffusions
- Results and perspectives on fault tolerant control for a class of hybrid systems
- Ergodic problem for optimal stochastic switching
- On the notion of weak stability and related issues of hybrid diffusion systems
- Controlled diffusion processes with Markovian switchings for modeling dynamical engineering systems
- Coupling for Markovian switching jump-diffusions
- Fault tolerance analysis for stochastic systems using switching diffusion processes
- Locally risk-minimizing hedging strategies for unit-linked life insurance contracts under a regime switching Lévy model
- Pricing Equity-indexed Annuities When Discrete Dividends Follow a Markov-Modulated Jump Diffusion Model
- Asymptotic properties of parabolic systems for null-recurrent switching diffusions
- Jump-diffusions with state-dependent switching: existence and uniqueness, Feller property, linearization, and uniform ergodicity
- Stabilization of Stochastic Hybrid Linear Systems with Noise
- Feedback controls to ensure global solutions and asymptotic stability of Markovian switching diffusion systems
- Spectral methods for bivariate Markov processes with diffusion and discrete components and a variant of the Wright-Fisher model
- A two-factor stochastic production model with two time scales
- Stochastic stabilization of hybrid differential equations
- Bias and overtaking equilibria for zero-sum stochastic differential games
- Risk Minimizing Option Pricing in a Regime Switching Market
- Successful couplings for diffusion processes with state-dependent switching
- Ergodic control in stochastic manufacturing systems with constant demand
- Ergodic Control, Bias, and Sensitive Discount Optimality for Markov Diffusion Processes
- Ergodic switching control for diffusion-type processes
- Hierarchical production control in a stochastic manufacturing system with long-run average cost
- Discrete-time switching control in random walks
- Moment exponential stability analysis of Markovian jump stochastic differential equations with uncertain transition jump rates
- Stabilization and destabilization of hybrid systems by periodic stochastic controls
- Risk-minimizing hedging strategy for an equity-indexed annuity under a regime switching model
- Nonsmooth stabilization of a class of Markovian jump stochastic nonlinear systems with parametric and dynamic uncertainties
- Uniqueness of solution of production control problem in a manufacturing system with degenerate demand
- Stabilization and destabilization of hybrid systems of stochastic differential equations
- Moment analysis of stochastic hybrid systems using semidefinite programming
- Regularity and recurrence of switching diffusions
- Ergodic control of diffusions with compound Poisson jumps under a general structural hypothesis
- Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model
- Policy iteration algorithms for zero-sum stochastic differential games with long-run average payoff criteria
- Optimization of hybrid stochastic differential systems in communications networks
- A model for stochastic hybrid systems with application to communication networks
- Constrained stochastic differential games with additive structure: average and discount payoffs
- Stability analysis of stochastic differential equations with Markovian switching
- Approximately bisimilar symbolic models for randomly switched stochastic systems
- Blackwell Optimality for Controlled Diffusion Processes
- Probabilistic reachability and safety for controlled discrete time stochastic hybrid systems
- Stochastic differential dynamic logic for stochastic hybrid programs
- Bayesian statistical model checking with application to Stateflow/Simulink verification
- Optimal production planning in a stochastic manufacturing system with long-run average cost
- Recurrence and ergodicity for A class of regime-switching jump diffusions
- Mixture dynamics and regime switching diffusions with application to option pricing
- Stochastic system controller synthesis for reachability specifications encoded by random sets
- Stabilization of hybrid neutral stochastic differential delay equations by delay feedback control
- Stochastic Liénard equations with state-dependent switching
- EM algorithm for stochastic hybrid systems
- Perfect simulation of a class of stochastic hybrid systems with an application to peer to peer systems
- Nonzero-sum stochastic differential games with additive structure and average payoffs
- Discount-sensitive equilibria in zero-sum stochastic differential games
- Robust stability and stabilization of linear stochastic systems with Markovian switching and uncertain transition rates
- Pricing and hedging equity-indexed annuities via local risk-minimization
- Optimal Control of Switching Diffusions with Application to Flexible Manufacturing Systems
- Verification of discrete time stochastic hybrid systems: a stochastic reach-avoid decision problem
- On ergodic control of switching processes
- A unifying formulation of the Fokker-Planck-Kolmogorov equation for general stochastic hybrid systems
- The Lagrange and the vanishing discount techniques to controlled diffusions with cost constraints
- Characterizations of overtaking optimality for controlled diffusion processes
- Local risk minimization for vulnerable European contingent claims on nontradable assets under regime switching models
- Almost sure exponential stabilization of a class of uncertain stochastic systems with Markovian switching
- A numerical method for ergodic optimal control of switching diffusions with reflection
- Comparing two approaches to include stochasticity in hybrid automata
- Using control to shape stochastic escape and switching dynamics
- Constrained optimality for controlled switching diffusions with an application to stock purchasing
- On averaged expected cost control for 1D ergodic diffusions with switching
- Producing in a manufacturing system with minimum average cost
- Optimal ergodic control of Markov diffusion processes with minimum variance
- Hedging of contingent claims written on non traded assets under Markov-modulated models
- Option pricing based on a regime switching dividend process
- Averaging principle for two time-scale regime-switching processes
- Overtaking optimality for controlled Markov-modulated diffusions
- Controlled Switching Diffusions Under Ambiguity: The Average Criterion
- A stochastic differential equation SIS model on network under Markovian switching
- Harnack type inequalities for SDEs driven by fractional Brownian motion with Markovian switching
- Coupling and exponential convergence rate for Markovian switching jump diffusions
- Ergodicity of regime-switching functional diffusions with infinite delay and application to a numerical algorithm for stochastic optimization
This page was built for publication: Ergodic Control of Switching Diffusions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4377429)
