The optimal control of a two-parameter jump process

DOI10.1007/BF00971351MaRDI QIDQ1085134zbMATH OpenFDO

Authors Robert J. Elliott, Ata N. Al-Hussaini

Publication date 1986

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF00971351

zbMATH Keywords

jump processesminimum principle

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

Review text

The authors consider the optimal control of a system that depends on two components that are used during different time periods. The system is controlled by choosing densities which determine the failure times of the two components. A minimum principle is given for an optimal control.

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Cites work

• Arr�t Optimal sur le Plan
• scientific article; zbMATH DE number 3793150 (Why is no real title available?)
• scientific article; zbMATH DE number 3804571 (Why is no real title available?)
• Martingales, potentials and exponentials associated with a two-parameter jump process
• Optimal control of a jump process

Cited in

(6)

• Optimal control problem associated with jump processes
• Calibration of a Jump-Diffusion Process Using Optimal Control
• scientific article; zbMATH DE number 6506943 (Why is no real title available?)
• scientific article; zbMATH DE number 3923820 (Why is no real title available?)
• Commande optimale du processus de wiener
• Optimal control of a jump process

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