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Teoriya Veroyatnostei i ee Primeneniya, 1997, Volume 42, Issue 1, Pages 108–133
DOI: https://doi.org/10.4213/tvp1715 (Mi tvp1715) 		 
This article is cited in 24 scientific papers (total in 24 papers)

A controlled jump discounted model with constraints

A. B. Piunovskiy

Institute for Physico-Technical Problems, Moscow
Full-text PDF (1294 kB) Citations (24)
DOI: https://doi.org/10.4213/tvp1715
Abstract: In the problem under consideration the given functionals of the trajectories must satisfy a system of inequalities. As usual, a construction of control strategy is required to ensure attainment of the extremal value of the criterion.
The paper provides an investigation of the space of strategy measures; necessary and sufficient optimality conditions are obtained, an algorithm of constructing optimal strategy for the Markovian case is developed, and an informative exactly solved example is given.
Keywords: optimal control, jump stochastic processes, functional constraints, convex programming, queueing theory.
Received: 04.07.1994
English version:
Theory of Probability and its Applications, 1998, Volume 42, Issue 1, Pages 51–72
DOI: https://doi.org/10.1137/S0040585X97975964
Bibliographic databases:
Language: Russian
Citation: A. B. Piunovskiy, “A controlled jump discounted model with constraints”, Teor. Veroyatnost. i Primenen., 42:1 (1997), 108–133; Theory Probab. Appl., 42:1 (1998), 51–72
Citation in format AMSBIB
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\by A.~B.~Piunovskiy
\paper A~controlled jump discounted model with constraints
\jour Teor. Veroyatnost. i Primenen.
\yr 1997
\vol 42
\issue 1
\pages 108--133
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\zmath{https://zbmath.org/?q=an:0908.60026}
\transl
\jour Theory Probab. Appl.
\yr 1998
\vol 42
\issue 1
\pages 51--72
\crossref{https://doi.org/10.1137/S0040585X97975964}
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  • https://doi.org/10.4213/tvp1715
  • https://www.mathnet.ru/eng/tvp/v42/i1/p108
    • This publication is cited in the following 24 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Теория вероятностей и ее применения Theory of Probability and its Applications
     
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