Optimality for controlled jump processes: a simple approach

Siu Fai Leung

doi:10.1007/BF01210270

Optimality for controlled jump processes: a simple approach

Siu Fai Leung^*

^*Corresponding author for this work

Research output: Contribution to journal › Journal Article › peer-review

1 Citation (Scopus)

Abstract

This note presents a very simple method for deriving the necessary optimality conditions for optimal control of jump (point) processes. By means of Bellman's principle of optimality, the original stochastic control problem is transformed into a simple optimization problem. The derivation is remarkably simpler than the existing ones in the literature.

Original language	English
Pages (from-to)	765-774
Number of pages	10
Journal	Economic Theory
Volume	3
Issue number	4
DOIs	https://doi.org/10.1007/BF01210270
Publication status	Published - Dec 1993
Externally published	Yes

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title = "Optimality for controlled jump processes: a simple approach",

abstract = "This note presents a very simple method for deriving the necessary optimality conditions for optimal control of jump (point) processes. By means of Bellman's principle of optimality, the original stochastic control problem is transformed into a simple optimization problem. The derivation is remarkably simpler than the existing ones in the literature.",

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year = "1993",

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AB - This note presents a very simple method for deriving the necessary optimality conditions for optimal control of jump (point) processes. By means of Bellman's principle of optimality, the original stochastic control problem is transformed into a simple optimization problem. The derivation is remarkably simpler than the existing ones in the literature.

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UR - https://www.scopus.com/pages/publications/34247131595

U2 - 10.1007/BF01210270

DO - 10.1007/BF01210270

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VL - 3

SP - 765

EP - 774

JO - Economic Theory

JF - Economic Theory

IS - 4

ER -

Optimality for controlled jump processes: a simple approach

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