A note on impulsive control of Feller processes with costly information
Aplikace matematiky (1990)
- Volume: 35, Issue: 1, page 51-59
- ISSN: 0862-7940
Access Full Article
top
Abstract
topHow to cite
topGątarek, Dariusz. "A note on impulsive control of Feller processes with costly information." Aplikace matematiky 35.1 (1990): 51-59. <http://eudml.org/doc/15609>.
@article{Gątarek1990,
abstract = {The paper deals with the optimal inspections and maintenance problem with costly information for a Markov process with positive discount factor. The associated dynamic programming equation is a quasi-variational inequality with first order differential terms. In this paper we study its different formulations: strong, visousity and evolutionary. The case of impulsive control of purely jump Markov processes is studied as a special case.},
author = {Gątarek, Dariusz},
journal = {Aplikace matematiky},
keywords = {Markov jump processes; Feller process; inspections and maintenance; quasi-variational inequality; viscosity solutions; optimal inspections and maintenance problem; quasi-variational inequality; jump Markov processes},
language = {eng},
number = {1},
pages = {51-59},
publisher = {Institute of Mathematics, Academy of Sciences of the Czech Republic},
title = {A note on impulsive control of Feller processes with costly information},
url = {http://eudml.org/doc/15609},
volume = {35},
year = {1990},
}
TY - JOUR
AU - Gątarek, Dariusz
TI - A note on impulsive control of Feller processes with costly information
JO - Aplikace matematiky
PY - 1990
PB - Institute of Mathematics, Academy of Sciences of the Czech Republic
VL - 35
IS - 1
SP - 51
EP - 59
AB - The paper deals with the optimal inspections and maintenance problem with costly information for a Markov process with positive discount factor. The associated dynamic programming equation is a quasi-variational inequality with first order differential terms. In this paper we study its different formulations: strong, visousity and evolutionary. The case of impulsive control of purely jump Markov processes is studied as a special case.
LA - eng
KW - Markov jump processes; Feller process; inspections and maintenance; quasi-variational inequality; viscosity solutions; optimal inspections and maintenance problem; quasi-variational inequality; jump Markov processes
UR - http://eudml.org/doc/15609
ER -
References
top- R. F. Anderson A. Friedman, 10.1287/moor.2.2.155, Math. Oper. Res. 2 (1977), 155-190. (1977) MR0479602DOI10.1287/moor.2.2.155
- G. Barles, 10.1137/0323027, SIAM Control Opt. 23 (1985), 419-432. (1985) Zbl0571.49020MR0784578DOI10.1137/0323027
- A. Bensoussan J. L. Lions, Applications des Inequations Variationnelles en Controle Stochastique, Dunod, Paris 1978. (1978) MR0513618
- M. H. A. Davis, Piecewise-deterministic Markov processes: a general class of non-diffusion Stochastic models, J. Royal Statist. Soc. (B), (46 (1984), 353 - 388. (1984) Zbl0565.60070MR0790622
- D. Gątarek, On value functions for impulsive control of piecewise-deterministic processes, to appear in Stochastics.
- D. Gątarek, Optimal maintenance and inspections of a decreasing Markov process, to appear in Mathematics of Operations Research.
- B. Hanouzet J. L. Joly, Convergence uniforme des iteres defmissant la solution d'une inequation quasi-variationelle abstaite, CRAS 286 (1978), 735-738. (1978) MR0496035
- M. Robin, Controle Impulsionnel des Processus de Markov, Thesis, Université Paris IX, 1978. (1978)
- M. Robin, Optimal maintenance and inspections: am inpulsive control approach, Proc. 8 IFIP Symp. Opt. Lect. Notes Control Inf. Sc. 6, 1977, 186-198. (1977) MR0529459
- Ł. Stettner J. Zabczyk, Optimal stopping for Feller processes, Institute of Mathematics PAS, Preprint 284, Warszawa 1983. (1983)
NotesEmbed ?
topYou must be logged in to post comments.
To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.