On the Modeling of Impulse Control with Random Effects for Continuous Markov Processes
From MaRDI portal
Publication:6198084
DOI10.1137/19m1286967arXiv1908.08357MaRDI QIDQ6198084
Chao Zhu, Richard H. Stockbridge, Kurt Helmes
Publication date: 20 February 2024
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1908.08357
Stochastic systems in control theory (general) (93E03) Impulsive control/observation systems (93C27)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Applied stochastic control of jump diffusions.
- Renaissance, recollements, mélanges, ralentissement de processus de Markov
- Nouvelles méthodes en contrôle impulsionnel
- Optimal impulse and continuous control: Method of nonlinear quasi- variational inequalities
- Classical and restricted impulse control for the exchange rate under a stochastic trend model
- A class of solvable impulse control problems
- Optimal securitization of credit portfolios via impulse control
- Impulse control of one-dimensional ito diffusions with an expected and a pathwise ergodic criterion
- On the solution of general impulse control problems using superharmonic functions
- Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves
- Impulse Control of Brownian Motion
- On impulsive control with long run average cost criterion
- Impulse Control of Brownian Motion: The Constrained Average Cost Case
- Verification Theorems for Markov Decision Processes with Controlled Deterministic Drift and Gradual and Impulsive Controls
- On the Optimal Impulse Control Problem for Degenerate Diffusions
- Continuous time markov decision processes with interventions
- Optimal Impulse Control of a Diffusion Process with Both Fixed and Proportional Costs of Control
- Optimal Impulse Control When Control Actions Have Random Consequences
- Impulse Control Maximizing Average Cost per Unit Time: A Nonuniformly Ergodic Case
- On Some Impulse Control Problems with Constraint
- A Measure Approach for Continuous Inventory Models: Discounted Cost Criterion
- A construction of markov processes by piecing out
- Markov Processes, Brownian Motion, and Time Symmetry