Abstract
In this and the coming chapter, we use the mathematical machinery we have developed to consider problems related to the optimal control of a random process. To begin with, we consider the simple case of a single jump process, as in Chapter 13, where a controller can determine the rate at which the jump occurs, but faces some cost for doing so. This example will allow us to demonstrate the main methods used in optimal control, before moving on to more technically demanding problems.
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Cohen, S.N., Elliott, R.J. (2015). Control of a Single Jump. In: Stochastic Calculus and Applications. Probability and Its Applications. Birkhäuser, New York, NY. https://doi.org/10.1007/978-1-4939-2867-5_20
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DOI: https://doi.org/10.1007/978-1-4939-2867-5_20
Publisher Name: Birkhäuser, New York, NY
Print ISBN: 978-1-4939-2866-8
Online ISBN: 978-1-4939-2867-5
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