Optimal Control of Continuous-Time Markov Chains with Noise-Free Observation

DOI10.1137/17M1139989zbMath1387.93184arXiv1707.07202WikidataQ129734828 ScholiaQ129734828MaRDI QIDQ4563379

Alessandro Calvia

Publication date: 1 June 2018

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.07202

zbMATH Keywords

Bellman equationcontinuous-time Markov chainsviscosity solutionspiecewise deterministic Markov processespartial observation control problem

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (5)

Nonlinear filtering of partially observed systems arising in singular stochastic optimal control ⋮ Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics ⋮ Filtering method for linear and non-linear stochastic optimal control of partially observable systems II ⋮ Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation ⋮ State Constrained Control Problems in Banach Lattices and Applications

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