Optimal impulsive control of piecewise deterministic Markov processes

In this paper, we study the infinite-horizon expected discounted continuous-time optimal control problem for Piecewise Deterministic Markov Processes with both impulsive and gradual (also called continuous) controls. The set of admissible control strategies is supposed to be formed by policies possi...

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Bibliographic Details
Published in:	Stochastics (Abingdon, Eng. : 2005) Vol. 88; no. 7; pp. 1073 - 1098
Main Authors:	Dufour, F., Horiguchi, M., Piunovskiy, A. B.
Format:	Journal Article
Language:	English
Published:	Abingdon Taylor & Francis 02.10.2016 Taylor & Francis Ltd Taylor & Francis: STM, Behavioural Science and Public Health Titles
Subjects:	discounted cost Economic models impulsive control Insurance claims Markov analysis Markov processes Mathematical analysis Mathematics Optimal control Optimization Optimization and Control piecewise deterministic Markov process Policies Primary: 90C40 Probability theory Production planning Randomness Secondary: 60J25 Strategy Discounted cost Impulsive control Piecewise deterministic Markov process Optimal control
ISSN:	1744-2508, 1744-2516
Online Access:	Get full text
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