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This article is cited in 3 scientific papers (total in 3 papers)
Kolmogorov's equations for jump Markov processes and their applications to control problems
E. A. Feinberga, A. N. Shiryaevb a Department of Applied Mathematics and Statistics, Stony Brook University, Stony Brook, NY, USA
b Steklov Mathematical Institute of Russian Academy of Sciences, Moscow
Abstract:
This paper describes the structure of solutions to Kolmogorov's equations for nonhomogeneous jump Markov processes and applications of these results to control of jump stochastic systems. These equations were studied by Feller [Trans. Amer. Math. Soc., 48 (1940), pp. 488–515], who clarified in 1945 in the errata to that paper that some of its results covered only nonexplosive Markov processes. In this work, which is largely of a survey nature,
the case of explosive processes is also considered. This paper is based on the invited talk presented by the authors at the conference “P. L. Chebyshev – 200,” and it describes the results of their joint studies with Manasa Mandava (1984–2019).
Keywords:
Kolmogorov's equations, jump Markov processes, optimal control.
Received: 18.06.2021 Accepted: 18.06.2021
Citation:
E. A. Feinberg, A. N. Shiryaev, “Kolmogorov's equations for jump Markov processes and their applications to control problems”, Teor. Veroyatnost. i Primenen., 66:4 (2021), 734–759; Theory Probab. Appl., 66:4 (2022), 582–600
Linking options:
https://www.mathnet.ru/eng/tvp5524https://doi.org/10.4213/tvp5524 https://www.mathnet.ru/eng/tvp/v66/i4/p734
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