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Necessary and sufficient optimality conditions for control of piecewise deterministic markov processes
5 references·3 citing·22 second hop
Necessary and sufficient optimality conditions for control of piecewise deterministic markov processes (1992)Necessary and sufficient optimality condi…Optimal control of piecewise deterministic Markov processes. (1990)Optimal control of piecewise …Optimal capacity expansion under uncertainty (1987)Optimal capacity expansion un…Optimal Control with State-Space Constraint. II (1986)Optimal Control with State-Sp…Optimal control of piecewise deterministic markov process (1985)Optimal control of piecewise …Piecewise-Deterministic Markov Processes: A General Class of Non-Diffusion Stochastic Models (1984)Piecewise-Deterministic Marko…Constrained and Unconstrained Optimal Discounted Control of Piecewise Deterministic Markov Processes (2016)Constrained and Unconstrained…Piecewise Deterministic Markov Control Processes with Feedback Controls and Unbounded Costs (2004)Piecewise Deterministic Marko…Piecewise-Deterministic Processes and Viscosity Solutions (1999)Piecewise-Deterministic Proce…Point Processes and Queues (1981)Controlled Markov Processes and Viscosity Solutions (2005)Operations Research and Capacity Expansion Problems: A Survey (1982)Capacity Expansion Under Stochastic Demands (1992)An Approximation Scheme for Stochastic Integer Programs Arising in Capacity Expansion (2003)The Value of Multistage Stochastic Programming in Capacity Planning Under Uncertainty (2009)Dynamic Programming and Minimum Principles for Systems with Jump Markov Disturbances (1975)Convex Duality Approach to the Optimal Control of Diffusions (1989)An optimal control problem with a random stopping time (1990)Turnpike Sets and Their Analysis in Stochastic Production Planning Problems (1992)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Markov Models & Optimization (1993)Calcul Stochastique et Problèmes de Martingales (1979)Point Processes and Queues: Martingale Dynamics. (1983)State space collapse with application to heavy traffic limits for multiclass queueing networks (1998)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities (2004)“Itô's Lemma” and the Bellman Equation for Poisson Processes: An Applied View (2006)Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility (2006)Discontinuous solutions of deterministic optimal stopping time problems (1987)A model of optimal portfolio selection under liquidity risk and price impact (2006)Optimality results for dividend problems in insurance (2009)
this work references cited by second hop

References

  • 1984Piecewise-Deterministic Markov Processes: A General Class of Non-Diffusion Stochastic Models1,123 cited
  • 1986Optimal Control with State-Space Constraint. II236 cited
  • 1987Optimal capacity expansion under uncertainty140 cited
  • 1985Optimal control of piecewise deterministic markov process126 cited
  • 1990Optimal control of piecewise deterministic Markov processes.70 cited

Cited by

  • 2016Constrained and Unconstrained Optimal Discounted Control of Piecewise Deterministic Markov Processes26 cited
  • 2004Piecewise Deterministic Markov Control Processes with Feedback Controls and Unbounded Costs25 cited
  • 1999Piecewise-Deterministic Processes and Viscosity Solutions24 cited

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