Geodesic
A~controlled jump discounted model with constraints
Teoriâ veroâtnostej i ee primeneniâ, Tome 42 (1997) no. 1, pp. 108-133

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In the problem under consideration the given functionals of the trajectories must satisfy a system of inequalities. As usual, a construction of control strategy is required to ensure attainment of the extremal value of the criterion. The paper provides an investigation of the space of strategy measures; necessary and sufficient optimality conditions are obtained, an algorithm of constructing optimal strategy for the Markovian case is developed, and an informative exactly solved example is given.
Keywords: optimal control, jump stochastic processes, functional constraints, convex programming, queueing theory. 
@article{TVP_1997_42_1_a7,
     author = {A. B. Piunovskiy},
     title = {A~controlled jump discounted model with constraints},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {108--133},
     publisher = {mathdoc},
     volume = {42},
     number = {1},
     year = {1997},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_1997_42_1_a7/}
}
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A. B. Piunovskiy. A~controlled jump discounted model with constraints. Teoriâ veroâtnostej i ee primeneniâ, Tome 42 (1997) no. 1, pp. 108-133. http://geodesic.mathdoc.fr/item/TVP_1997_42_1_a7/