The Maximum Principle for Progressive Optimal Stochastic Control Problems with Random Jumps.

Yuanzhuo Song Shanjian Tang Zhen Wu

Published in: SIAM J. Control. Optim. (2020)

Keyphrases

control problems
optimal control
stochastic control
continuous state spaces
reinforcement learning
dynamic programming
queueing systems
brownian motion
markov chain
control strategy
infinite horizon
optimal solution
adaptive control
operations management