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A Minimum Principle for Controlled Jump Processes · Study

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ChapterA Minimum Principle for Controlled Jump Processes

Raymond Rishel1975

Chapter1975

A Minimum Principle for Controlled Jump Processes

47 citations·0/0 files stored·Lecture notes in economics and mathematical systems

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Advanced Queuing Theory Analysis Stochastic processes and financial applications Adaptive Dynamic Programming Control

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References

2002Introduction to the Theory of Random Processes

Cited by

1994Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps 1981Les Aspects Probabilistes Du Controle Stochastique 2002A stochastic maximum principle for systems with jumps, with applications to finance 1977Optimal control of a jump process 2013On mean-field stochastic maximum principle for near-optimal controls for Poisson jump diffusion with applications 2012On Maximum Principle of Near-optimality for Diffusions with Jumps, with Application to Consumption-Investment Problem 1976Bang-bang controls of point processes 2016Optimal control of semi-Markov processes with a backward stochastic differential equations approach

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Details

Year1975

Typechapter

Published1975-01-01

VenueLecture notes in economics and mathematical systems

ISSN-L0075-8442

Languageen

Citations47

Files0 public / 0

ShelfAdvanced Queuing Theory Analysis

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doi10.1007/978-3-642-46317-4_35

openalex_workW2107307664

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