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Approximations for optimal stopping of a piecewise-deterministic process
11 references·3 citing·27 second hop
Approximations for optimal stopping of a piecewise-deterministic process (1988)Approximations for optimal stopping of a …Impulse control of piecewise-deterministic processes (1989)Impulse control of piecewise-…Optimal capacity expansion under uncertainty (1987)Optimal capacity expansion un…Optimal stopping of a piecewise-deterministic markov process (1986)Optimal stopping of a piecewi…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 …Integro-differential equations associated with optimal stopping time of a piecewise-deterministic process (1985)Integro-differential equation…Theorie Generale du Controle Impulsionnel Markovien (1984)Theorie Generale du Controle …Piecewise-Deterministic Markov Processes: A General Class of Non-Diffusion Stochastic Models (1984)Piecewise-Deterministic Marko…Temps d'arrÊt optimal, théorie générale des processus et processus de Markov (1977)Temps d'arrÊt optimal, théori…Probability Methods for Approximations in Stochastic Control and for Elliptic Equations (1977)Probability Methods for Appro…The Representation of Martingales of Jump Processes (1976)The Representation of Marting…Numerical method for optimal stopping of piecewise deterministic Markov processes (2010)Numerical method for optimal …Numerical method for optimal stopping of piecewise deterministic Markov Processes (2009)Numerical method for optimal …Optimality conditions for impulsive control of piecewise-deterministic processes (1992)Optimality conditions for imp…Martingales on Jump Processes. I: Representation Results (1975)Optimal Control of Jump Processes (1977)Optimal control of service in tandem queues (1982)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)Les Aspects Probabilistes Du Controle Stochastique (1981)Inventory management with partially observed nonstationary demand (2009)Dynamic Credit-Collections Optimization (2019)Point Processes and Queues (1981)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)Long-term average cost control problems for continuous time Markov processes: A survey (1983)Valuation of Investments in Real Assets with Implications for the Stock Prices (1998)Martingale methods in stochastic control (2005)Scheduling network of queues : heavy traffic analysis of multistation network with controllable inputs (1989)Dynamic routing in open queueing networks: Brownian models, cut constraints and resource pooling (1993)On an Investment-Consumption Model with Transaction Costs (1996)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
  • 1977Probability Methods for Approximations in Stochastic Control and for Elliptic Equations343 cited
  • 1986Optimal Control with State-Space Constraint. II236 cited
  • 1987Optimal capacity expansion under uncertainty140 cited
  • 1976The Representation of Martingales of Jump Processes137 cited
  • 1985Optimal control of piecewise deterministic markov process126 cited
  • 1977Temps d'arrÊt optimal, théorie générale des processus et processus de Markov78 cited
  • 1989Impulse control of piecewise-deterministic processes51 cited
  • 1986Optimal stopping of a piecewise-deterministic markov process50 cited
  • 1985Integro-differential equations associated with optimal stopping time of a piecewise-deterministic process37 cited
  • 1984Theorie Generale du Controle Impulsionnel Markovien36 cited

Cited by

  • 1992Optimality conditions for impulsive control of piecewise-deterministic processes31 cited
  • 2009Numerical method for optimal stopping of piecewise deterministic Markov Processes28 cited
  • 2010Numerical method for optimal stopping of piecewise deterministic Markov processes25 cited

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