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SIAMCO
2010

Average Continuous Control of Piecewise Deterministic Markov Processes

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Average Continuous Control of Piecewise Deterministic Markov Processes
In this paper we consider the long run average continuous control problem of piecewise-deterministic Markov processes (PDP's for short). The control variable acts on the jump rate and transition measure Q of the PDP. The main goal of the paper is to characterize the optimality equation of the problem in terms of integro-differential equations for the continuous-time problem as well as in terms of embedded discrete-time Markov chains associated to the PDP.
Oswaldo Luiz V. Costa, François Dufour
Added 21 May 2011
Updated 21 May 2011
Type Journal
Year 2010
Where SIAMCO
Authors Oswaldo Luiz V. Costa, François Dufour
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