Impulse control of piecewise-deterministic processes

1989 ◽  
Vol 2 (3) ◽  
pp. 187-206 ◽  
Author(s):  
O. L. V. Costa ◽  
M. H. A. Davis
Keyword(s):  
Impulse Control ◽  
Deterministic Processes ◽  
Piecewise Deterministic Processes

Discretizations for the average impulse control of piecewise deterministic processes

1993 ◽  
Vol 30 (2) ◽  
pp. 405-420 ◽  
Author(s):  
O. L. V. Costa
Keyword(s):  
State Space ◽  
Markov Processes ◽  
Impulse Control ◽  
Time Discretization ◽  
Optimal Capacity ◽  
Piecewise Deterministic Markov Processes ◽  
Deterministic Processes ◽  
General Average ◽  
Piecewise Deterministic Processes ◽  
Discretized Problem

This paper presents a state space and time discretization for the general average impulse control of piecewise deterministic Markov processes (PDPs). By combining several previous results we show that under some continuity, boundedness and compactness conditions on the parameters of the process, boundedness of the discretizations, and compactness of the state space, the discretized problem will converge uniformly to the original one. An application to optimal capacity expansion under uncertainty is given.

scholarly journals Viscosity solutions associated with impulse control problems for piecewise-deterministic processes

1989 ◽  
Vol 12 (1) ◽  
pp. 145-157 ◽  
Author(s):  
Suzanne M. Lenhart
Keyword(s):  
Viscosity Solutions ◽  
Existence And Uniqueness ◽  
Impulse Control ◽  
Control Problems ◽  
Bounded Domains ◽  
Existence And Uniqueness Results ◽  
Impulse Control Problem ◽  
Uniqueness Results ◽  
Deterministic Processes ◽  
Piecewise Deterministic Processes

This paper considers existence and uniqueness results for viscosity solutions of integro-differential equations associated with the impulse control problem for piecewise-deterministic processes on bounded domains and on Rn.

Discretizations for the average impulse control of piecewise deterministic processes

1993 ◽  
Vol 30 (02) ◽  
pp. 405-420
Author(s):  
O. L. V. Costa
Keyword(s):  
State Space ◽  
Markov Processes ◽  
Impulse Control ◽  
Time Discretization ◽  
Optimal Capacity ◽  
Piecewise Deterministic Markov Processes ◽  
Deterministic Processes ◽  
General Average ◽  
Piecewise Deterministic Processes ◽  
Discretized Problem

This paper presents a state space and time discretization for the general average impulse control of piecewise deterministic Markov processes (PDPs). By combining several previous results we show that under some continuity, boundedness and compactness conditions on the parameters of the process, boundedness of the discretizations, and compactness of the state space, the discretized problem will converge uniformly to the original one. An application to optimal capacity expansion under uncertainty is given.

Sign in / Sign up

Export Citation Format

Share Document