Piecewise-Deterministic Markov Processes: A General Class of Non-Diffusion Stochastic Models
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ID: 298203
1984
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Abstract
SUMMARY A general class of non-diffusion stochastic models is introduced with a view to providing a framework for studying optimization problems arising in queueing systems, inventory theory, resource allocation and other areas. The corresponding stochastic processes are Markov processes consisting of a mixture of deterministic motion and random jumps. Stochastic calculus for these processes is developed and a complete characterization of the extended generator is given; this is the main technical result of the paper. The relevance of the extended generator concept in applied problems is discussed and some recent results on optimal control of piecewise-deterministic processes are described.
| Reference Key |
openalex_W91439453
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| Authors | Mark H. Davis |
| Journal | Journal of the Royal Statistical Society Series B (Statistical Methodology) |
| Year | 1984 |
| DOI |
10.1111/j.2517-6161.1984.tb01308.x
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| URL | |
| Keywords | Keywords not found |
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