Average Continuous Control of Piecewise Deterministic Markov Processes

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 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.

• Type: Journal
• Year: 2010
• Where: SIAMCO
• Authors: Oswaldo Luiz V. Costa, François Dufour
• Keywords: Control Variable Acts, Discrete-time Markov Chains, Long Run Average, SIAMCO 2010