Related papers: Asymptotics of impulse control problem with multip…
In this paper we consider long-run risk sensitive average cost impulse control applied to a continuous-time Feller-Markov process. Using the probabilistic approach, we show how to get a solution to a suitable continuous-time Bellman…
In the paper average reward per unit time and average risk sensitive reward functionals are considered for controlled nonhomogeneous Markov processes. Existence of solutions to suitable Bellman equations is shown. Continuity of the value…
In this paper long-run risk sensitive optimisation problem is studied with dyadic impulse control applied to continuous-time Feller-Markov process. In contrast to the existing literature, focus is put on unbounded and non-uniformly ergodic…
In this paper, we investigate the effects of applying generalised (non-exponential) discounting on a long-run impulse control problem for a Feller-Markov process. We show that the optimal value of the discounted problem is the same as the…
The objective of this work is to study continuous-time Markov decision processes on a general Borel state space with both impulsive and continuous controls for the infinite-time horizon discounted cost. The continuous-time controlled…
In this paper we consider impulse control of continuous time Markov processes with average cost per unit time functional. This problem is approximated using impulse control problems stopped at the first exit time from increasing sequence of…
This paper establishes a verification theorem for impulse control problems involving conditional McKean-Vlasov jump diffusions. We obtain a Markovian system by combining the state equation of the problem with the stochastic Fokker-Planck…
We consider a class of stochastic impulse control problems of general stochastic processes i.e. not necessarily Markovian. Under fairly general conditions we establish existence of an optimal impulse control. We also prove existence of…
We consider a class of impulse control problems for general underlying strong Markov processes on the real line, which allows for an explicit solution. The optimal impulse times are shown to be of threshold type and the optimal threshold is…
In this paper, we consider the gradual-impulse control problem of continuous-time Markov decision processes, where the system performance is measured by the expectation of the exponential utility of the total cost. We prove, under very…
Learning and optimal control under robust Markov decision processes (MDPs) have received increasing attention, yet most existing theory, algorithms, and applications focus on finite-horizon or discounted models. Long-run average-reward…
In the paper adapting Krein Rutman theory we show the existence of solutions to the long run risk sensitive control problem for controlled discrete time Markov processes over locally compact separable metric spaces.
We consider non-standard Markov Decision Processes (MDPs) where the target function is not only a simple expectation of the accumulated reward. Instead, we consider rather general functionals of the joint distribution of terminal state and…
In this paper we propose a new methodology for solving an uncertain stochastic Markovian control problem in discrete time. We call the proposed methodology the adaptive robust control. We demonstrate that the uncertain control problem under…
We consider a Markov control model in discrete time with countable both state space and action space. Using the value function of a suitable long-run average reward problem, we study various reachability/controllability problems. First, we…
We present the conditions under which the time-optimal control problem for a nonlinear non-autonomous linearizable system can be solved by the method of successive approximations, at each step of which a power Markov moment min-problem is…
We consider impulse control problems in finite horizon for diffusions with decision lag and execution delay. The new feature is that our general framework deals with the important case when several consecutive orders may be decided before…
In the paper we study continuous time controlled Markov processes using discrete time controlled Markov processes. We consider long run functionals: average reward per unit time or long run risk sensitive functional. We also investigate…
This paper presents a numerical method to calculate the value function for a general discounted impulse control problem for piecewise deterministic Markov processes. Our approach is based on a quantization technique for the underlying…
Controlled discrete time Markov processes are studied first with long run general discounting functional. It is shown that optimal strategies for average reward per unit time problem are also optimal for average generally discounting…