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hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
hal.structure.identifierQuality control and dynamic reliability [CQFD]
dc.contributor.authorDUFOUR, François
hal.structure.identifierUniversity of Wisconsin - Milwaukee
dc.contributor.authorSTOCKBRIDGE, Richard H.
dc.date.accessioned2024-04-04T02:20:01Z
dc.date.available2024-04-04T02:20:01Z
dc.date.issued2010
dc.date.conference2010-07-05
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/189459
dc.description.abstractEnConvexity conditions are identified under which optimal controls in the class of strict controls exist for a large class of stochastic processes under a long-term average criterion in the presence of hard and/or soft constraints. The result adapts a similar result obtained by Haussmann and Lepeltier (1990) for a controlled diffusion under a mixed optimal- stopping/finite-horizon/first-exit criterion. The approach taken in this paper is to utilize an equivalent linear programming formulation of the control problem. These results apply to controlled processes such as diffusions, Markov chains, sim- ple Markov jump processes, diffusions with jumps, regime- switching diffusions and solutions to L ́ evy stochastic differential equations.
dc.language.isoen
dc.title.enExistence of Strict Optimal Controls for Long-term Average Stochastic Control Problems
dc.typeCommunication dans un congrès
dc.subject.halMathématiques [math]/Statistiques [math.ST]
dc.subject.halStatistiques [stat]/Théorie [stat.TH]
bordeaux.hal.laboratoriesInstitut de Mathématiques de Bordeaux (IMB) - UMR 5251*
bordeaux.institutionUniversité de Bordeaux
bordeaux.institutionBordeaux INP
bordeaux.institutionCNRS
bordeaux.conference.title19th International Symposium on Mathematical Theory of Networks and Systems - MTNS 2010
bordeaux.countryHU
bordeaux.conference.cityBudapest
bordeaux.peerReviewedoui
hal.identifierhal-00938169
hal.version1
hal.invitednon
hal.proceedingsoui
hal.conference.end2010-07-05
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-00938169v1
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.date=2010&rft.au=DUFOUR,%20Fran%C3%A7ois&STOCKBRIDGE,%20Richard%20H.&rft.genre=unknown


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