Elsevier < Decision Sciences Publications < Handbooks in Operations Research and Management Science < Volume 2: Stochastic Models < Chapter 9

STOCHASTIC MODELS
Edited by D.P. Heyman and M.J. Sobel

CHAPTER 9
Controlled Continuous Time Markov Processes
R. Rishel

1. Introduction*

2. Examples of controlled processses

3. Transition probabilities - semigroup - generators

4. Markov processses

5. Diffusion processes

6. Piecewise deterministic processes

7. Controlled Markov processes

8. Dynamic programming optimality conditions

9. Control computations, Example 1

10. Control computations, Example 2

11. Control computations, Example 3

12. Control computations, Example 4

13. The linear quadratic Gaussian control problem

14. Concluding comments

References

* The first two pages of the chapters are available as PDF file.

 Complete chapters on ScienceDirect

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