Institutul de Matematică şi Informatică "Vladimir Andrunachievici"
Universitatea de Stat din MoldovaRO EN
Optimal control of jump-diffusion processes with random parameters
Authors: Mario Lefebvre
Keywords: Brownian motion, Poisson process, first-passage time, jump size, differential-difference equation
– 0.16 Mb
Keywords: Brownian motion, Poisson process, first-passage time, jump size, differential-difference equation
Abstract
Let $X(t)$ be a controlled jump-diffusion process starting at $x \in [a,b]$ and whose infinitesimal parameters vary according to a con\-tinuous-time Markov chain. The aim is to minimize the expected value of a cost function with quadratic control costs until $X(t)$ leaves the interval $(a,b)$, and a termination cost that depends on the final value of $X(t)$. Exact and explicit solutions are obtained for important processes.Department of Mathematics and Industrial Engineering,
Polytechnique Montr¶eal, Canada
E-mail:
Polytechnique Montr¶eal, Canada
E-mail:
DOI
https://doi.org/10.56415/basm.y2022.i3.p22Fulltext
– 0.16 Mb
Contents
- Some integrals for groups of bounded linear operators on finite-dimensional non-Archimedean Banach spaces
- A fixed point theorem for p-contraction mappings in partially ordered metric spaces and application to ordinary differential equations
- Optimal control of jump-diffusion processes with random parameters
- A self-similar solution for the two-dimensional Broadwell system via the Bateman equation
- Construction of medial ternary self-orthogonal quasigroups
- Poisson Stable Motions and Global Attractors of Symmetric Monotone Nonautonomous Dynamical Systems
