IMPULSE CONTROL OF PIECEWISE DETERMINISTIC MARKOV PROCESSES
成果类型：
Article
署名作者：
Dempster, M. A. H.; Ye, J. J.
署名单位：
University of Essex; Dalhousie University; University of Victoria
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/aoap/1177004771
发表日期：
1995
页码：
399-423
关键词：
摘要：
This paper concerns the optimal impulse control of piecewise deterministic Markov processes (PDPs). The PDP optimal (full) control problem with dynamic control plus impulse control is transformed to an equivalent dynamic control problem. The existence of an optimal full control and a generalized Bellman-Hamilton-Jacobi necessary and sufficient optimality condition for the PDP full control problem in terms of the value function for the new dynamic control problem are derived. It is shown that the value function of the original PDP optimal full control problem is Lipschitz continuous and satisfies a generalized quasivariational inequality with a boundary condition. A necessary and sufficient optimality condition is given in terms of the value function for the original full control problem.
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