Back to Search
Start Over
Hamilton-Jacobi-Bellman inequality for the average control of piecewise deterministic Markov processes.
- Source :
-
Stochastics: An International Journal of Probability & Stochastic Processes . Sep2019, Vol. 91 Issue 6, p817-835. 19p. - Publication Year :
- 2019
-
Abstract
- The main goal of this paper is to study the infinite-horizon long run average continuous-time optimal control problem of piecewise deterministic Markov processes (PDMPs) with the control acting continuously on the jump intensity λ and on the transition measure Q of the process. We provide conditions for the existence of a solution to an integro-differential optimality inequality, the so called Hamilton-Jacobi-Bellman (HJB) equation, and for the existence of a deterministic stationary optimal policy. These results are obtained by using the so-called vanishing discount approach, under some continuity and compactness assumptions on the parameters of the problem, as well as some non-explosive conditions for the process. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 17442508
- Volume :
- 91
- Issue :
- 6
- Database :
- Academic Search Index
- Journal :
- Stochastics: An International Journal of Probability & Stochastic Processes
- Publication Type :
- Academic Journal
- Accession number :
- 137823711
- Full Text :
- https://doi.org/10.1080/17442508.2018.1546305