Univ Sao Paulo, Escola Politecn, Dept Engn Telecomunicacoes & Controle, Sao Paulo - Brazil
 Univ Bordeaux, INRIA Bordeaux Sud Ouest, Inst Polytech Bordeaux, Team CQFD, IMB, Bordeaux - France
Número total de Afiliações: 2
Tipo de documento:
STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES;
AUG 18 2019.
Citações Web of Science:
The main goal of this paper is to study the infinite-horizon long run average continuous-time optimal control problem of piecewise deterministic Markov processes (PDMPs) with the control acting continuously on the jump intensity lambda and on the transition measure Q of the process. We provide conditions for the existence of a solution to an integro-differential optimality inequality, the so called Hamilton-Jacobi-Bellman (HJB) equation, and for the existence of a deterministic stationary optimal policy. These results are obtained by using the so-called vanishing discount approach, under some continuity and compactness assumptions on the parameters of the problem, as well as some non-explosive conditions for the process. (AU)