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Section: New Results

Hamilton-Jacobi-Bellman Inequality for the Average Control of Piecewise Deterministic Markov Processes

Abstract : The main goal of this work 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 λ and on the transition measure Q of the process.

Authors : O.L.V. Costa; F. Dufour (CQFD)