Long-term average cost control problems for continuous time Markov processes: A survey

DOI10.1007/BF00046603zbMATH Open0531.93068MaRDI QIDQ788690FDOQ788690

Authors: M. Robin 

Publication date: 1983

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

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zbMATH Keywords

impulse controlcontinuous control, stopping problemlong-term average costundiscounted stochastic control Markov processes

Mathematics Subject Classification ID

Dynamic programming (90C39) Continuous-time Markov processes on general state spaces (60J25) Variational inequalities (49J40) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Optimal stochastic control (93E20)

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Cited In (37)

• Optimal control of multiscale systems using reduced-order models
• A partial history of the early development of continuous-time nonlinear stochastic systems theory
• The probabilistic structure of controlled diffusion processes
• Economic design of memory-type control charts: the fallacy of the formula proposed by Lorenzen and Vance (1986)
• Joint insurance and capitalization costs
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• Optimal inventory control with path-dependent cost criteria
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• Time-average control of martingale problems: the hamilton-jacobi-bellman equation
• On almost sure optimization for stochastic control systems
• Asymptotic behavior of the first order obstacle problem
• Impulse control maximizing average cost per unit time: a nonuniformly ergodic case
• Optimal Central Bank intervention in the foreign exchange market
• Perturbation methods in optimal stopping with average cost criterion
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• On an approximation of average cost per unit time impulse control of Markov processes
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• An optimal stopping time problem with time average cost in a bounded interval

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