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ArticleOptimal control of a jump process

Mark H. Davis1977

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Articlebronze1977

Optimal control of a jump process

Mark H. Davis · Robert James Elliott

28 citations·0/0 files stored·Probability Theory and Related Fields

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Stochastic processes and financial applications Probability and Risk Models Adaptive Dynamic Programming Control

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References

2002Un Cours sur les Intégrales Stochastiques 1973Dynamic Programming Conditions for Partially Observable Stochastic Systems 1976The Representation of Martingales of Jump Processes 1977Optimal Control of Jump Processes 1977The Optimal Control of a Stochastic System 1975A Minimum Principle for Controlled Jump Processes

Cited by

1994Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps 1981Les Aspects Probabilistes Du Controle Stochastique 1979Existence of Optimal Controls for Stochastic Jump Processes 2011Near optimality conditions in stochastic control of jump diffusion processes

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1981Les Aspects Probabilistes Du Controle Stochastiquechapter · 4 shared references 2005Martingale methods in stochastic controlchapter · 4 shared references 1994Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumpsarticle · 3 shared references 1981On the optimal control of stochastic systems with an exponential-of-integral performance indexarticle · 3 shared references 1979Existence of Optimal Controls for Stochastic Jump Processesarticle · 3 shared references 2016Optimal control of semi-Markov processes with a backward stochastic differential equations approacharticle · 3 shared references

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Year1977

Typearticle

Published1977-01-01

VenueProbability Theory and Related Fields

ISSN-L0178-8051

Languagede

Citations28

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/bf00736046

openalex_workW1968491092

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