Infinite Horizon Forward-Backward SDEs and Open-Loop Optimal Controls for Stochastic Linear-Quadratic Problems with Random Coefficients

JOURNAL ARTICLE published January 2021 in SIAM Journal on Control and Optimization

Research funded by Department of Science and Technology of Jilin Province (20190103026JH) | National Natural Science Foundation of China (11871310,11971099)

Authors: Qingmeng Wei | Zhiyong Yu

The Minimal Time Function in Infinite Dimensions

JOURNAL ARTICLE published September 1993 in SIAM Journal on Control and Optimization

Authors: Ovidiu Cârj

Stability of Piecewise-Deterministic Markov Processes

JOURNAL ARTICLE published January 1999 in SIAM Journal on Control and Optimization

Authors: François Dufour | Oswaldo L. V. Costa

Ordinary Differential Equation Methods for Markov Decision Processes and Application to Kullback--Leibler Control Cost

JOURNAL ARTICLE published January 2018 in SIAM Journal on Control and Optimization

Research funded by Agence Nationale de la Recherche (ANR-16-CEO5-0008) | National Science Foundation (1609131,CPS-1259040)

Authors: Ana Bušić | Sean Meyn

Constrained Average Cost Markov Control Processes in Borel Spaces

JOURNAL ARTICLE published January 2003 in SIAM Journal on Control and Optimization

Authors: Onésimo Hernández-Lerma | Juan González-Hernández | Raquiel R. López-Martínez

Average Optimality in Markov Control Processes via Discounted-Cost Problems and Linear Programming

JOURNAL ARTICLE published January 1996 in SIAM Journal on Control and Optimization

Authors: Onésimo Hernández-Lerma | Jean B. Lasserre

Continuity of Optimal Values and Solutions for Control of Markov Chains with Constraints

JOURNAL ARTICLE published January 2000 in SIAM Journal on Control and Optimization

Authors: Mabel M. Tidball | Ariel Lombardi | Odile Pourtallier | Eitan Altman

The Vanishing Discount Approach in a class of Zero-Sum Finite Games with Risk-Sensitive Average Criterion

JOURNAL ARTICLE published January 2019 in SIAM Journal on Control and Optimization

Research funded by PSF Organization (2-450-17)

Authors: Rolando Cavazos-Cadena | Daniel Hernández-Hernández

Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation

JOURNAL ARTICLE published January 2005 in SIAM Journal on Control and Optimization

Authors: Tomasz R. Bielecki | Stanley R. Pliska | Shuenn-Jyi Sheu

Action Time Sharing Policies for Ergodic Control of Markov Chains

JOURNAL ARTICLE published January 2012 in SIAM Journal on Control and Optimization

Authors: Amarjit Budhiraja | Xin Liu | Adam Shwartz

Ergodic Control of Continuous-Time Markov Chains with Pathwise Constraints

JOURNAL ARTICLE published January 2008 in SIAM Journal on Control and Optimization

Authors: Tomás Prieto-Rumeau | Onésimo Hernández-Lerma

Time-Coherent Risk Measures for Continuous-Time Markov Chains

JOURNAL ARTICLE published January 2018 in SIAM Journal on Financial Mathematics

Research funded by National Science Foundation (DMS-1311978,DMS-1312016)

Authors: Darinka Dentcheva | Andrzej Ruszczyński

Constrained and Unconstrained Optimal Discounted Control of Piecewise Deterministic Markov Processes

JOURNAL ARTICLE published January 2016 in SIAM Journal on Control and Optimization

Research funded by Agence Nationale de la Recherche (ANR-1--INDEX-03-02) | Fundação de Amparo à Pesquisa do Estado de São Paulo (2013/50759-3) | Conselho Nacional de Desenvolvimento Científico e Tecnológico (304091/2014-6)

Authors: O. L. V. Costa | F. Dufour | A. B. Piunovskiy

Sample-Path Optimality and Variance-Minimization of Average Cost Markov Control Processes

JOURNAL ARTICLE published January 1999 in SIAM Journal on Control and Optimization

Authors: Onésimo Hernández-Lerma | Oscar Vega-Amaya | Guadalupe Carrasco

Supervisory Control of a Class of Discrete Event Processes

JOURNAL ARTICLE published January 1987 in SIAM Journal on Control and Optimization

Authors: P. J. Ramadge | W. M. Wonham

Singularly Perturbed Markov Decision Processes: A Multiresolution Algorithm

JOURNAL ARTICLE published January 2014 in SIAM Journal on Control and Optimization

Authors: Chin Pang Ho | Panos Parpas

Reversible Markov Decision Processes with an Average-Reward Criterion

JOURNAL ARTICLE published January 2013 in SIAM Journal on Control and Optimization

Authors: Randy Cogill | Cheng Peng

On the Modeling of Impulse Control with Random Effects for Continuous Markov Processes

JOURNAL ARTICLE published 29 February 2024 in SIAM Journal on Control and Optimization

Research funded by Simons Foundation (523736)

Authors: Kurt L. Helmes | Richard H. Stockbridge | Chao Zhu

Blackwell Optimality in Borelian Continuous-in-Action Markov Decision Processes

JOURNAL ARTICLE published November 1997 in SIAM Journal on Control and Optimization

Authors: Alexander A. Yushkevich

Linear Programming and Average Optimality of Markov Control Processes on Borel Spaces—Unbounded Costs

JOURNAL ARTICLE published March 1994 in SIAM Journal on Control and Optimization

Authors: Onésimo Hernández-Lerma | Jean B. Lasserre