Piecewise Deterministic Markov Control Processes with Feedback Controls and Unbounded Costs |
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| Authors: | Lothar Forwick Manfred Schäl Michael Schmitz |
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| Affiliation: | (1) Central Krankenversicherung AG, D-50670 Köln, Germany;(2) Instut für Angewandte Mathematik, Universität Bonn, Wegelerstr. 6, D-53115 Bonn, Germany |
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| Abstract: | The control of piecewise-deterministic processes is studied where only local boundedness of the data is assumed. Moreover the discount rate may be zero. The value function is shown to be solution to the Bellman equation in a weak sense; however the solution concept is strong enough to generate optimal policies. Continuity and compactness conditions are given for the existence of nonrelaxed optimal feedback controls. |
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| Keywords: | optimal control dynamic programming Hamilton-Jacobi-Bellman equation Markov decision processes piecewise-deterministic processes |
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