On a non-linear semi-group associated with stochastic optimal control and its excessive majorant

Makiko Nisio

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Displaying similar documents to “On a non-linear semi-group associated with stochastic optimal control and its excessive majorant”

Sample-path average cost optimality for semi-Markov control processes on Borel spaces: unbounded costs and mean holding times

Oscar Vega-Amaya, Fernando Luque-Vásquez (2000)

Applicationes Mathematicae

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We deal with semi-Markov control processes (SMCPs) on Borel spaces with unbounded cost and mean holding time. Under suitable growth conditions on the cost function and the mean holding time, together with stability properties of the embedded Markov chains, we show the equivalence of several average cost criteria as well as the existence of stationary optimal policies with respect to each of these criteria.

Sample path average optimality of Markov control processes with strictly unbounded cost

Oscar Vega-Amaya (1999)

Applicationes Mathematicae

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We study the existence of sample path average cost (SPAC-) optimal policies for Markov control processes on Borel spaces with strictly unbounded costs, i.e., costs that grow without bound on the complement of compact subsets. Assuming only that the cost function is lower semicontinuous and that the transition law is weakly continuous, we show the existence of a relaxed policy with 'minimal' expected average cost and that the optimal average cost is the limit of discounted programs. Moreover,...

Semi-group methods in stochastic control

A. Bensoussan (1985)

Banach Center Publications

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Ergodic control of partially observed Markov processes with equivalent transition probabilities

Łukasz Stettner (1993)

Applicationes Mathematicae

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Optimal control with long run average cost functional of a partially observed Markov process is considered. Under the assumption that the transition probabilities are equivalent, the existence of the solution to the Bellman equation is shown, with the use of which optimal strategies are constructed.

Robust estimates of certain large deviation probabilities for controlled semi-martingales

Hideo Nagai (2015)

Banach Center Publications

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Motivated by downside risk minimization on the wealth process in an incomplete market model, we have studied in the recent work the asymptotic behavior as time horizon T → ∞ of the minimizing probability that the empirical mean of a controlled semi-martingale falls below a certain level on the time horizon T. This asymptotic behavior relates to a risk-sensitive stochastic control problem in the risk-averse case. Indeed, we obtained an expression of the decay rate of the probability by...

Control of jump processes and applications

Jean-Michel Bismut (1978)

Bulletin de la Société Mathématique de France

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Martingale criteria for stochastic stability

Hans Fölmer (1979)

Banach Center Publications

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Diffusion approximation for a controlled service system

Věra Lánská (1982)

Kybernetika

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Generalized distribution semi-groups of bounded linear operators

Eric Larsson (1967)

Annali della Scuola Normale Superiore di Pisa - Classe di Scienze

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