Average Continuous Control of Piecewise Deterministic Markov Processes

O.L.V. Costa, F. Dufour
Proceedings of the 44th IEEE Conference on Decision and Control  
In this paper we consider the long run average continuous control problem of piecewise-deterministic Markov processes (PDP's for short). The control variable acts on the jump rate λ and transition measure Q of the PDP. The main goal of the paper is to characterize the optimality equation of the problem in terms of integro-differential equations for the continuous-time problem as well as in terms of embedded discrete-time Markov chains associated to the PDP.
doi:10.1109/cdc.2005.1582406 fatcat:pvnewioqdbh47iyysvwwr24mwe