Optimal control of compound Poisson processes
نویسندگان
چکیده
The problem of controlling a compound Poisson process until it leaves an interval is considered. This type known as homing problem. To determine the value optimal control, we must solve nonlinear integro-differential equation. Exact and explicit solutions are obtained for two possible jumps size distributions.
منابع مشابه
Poisson processes , ordinary and compound
The Poisson process is a stochastic counting process that arises naturally in a large variety of daily-life situations. We present a few definitions of the Poisson process and discuss several properties as well as relations to some well-known probability distributions. We further briefly discuss the compound Poisson process.
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ژورنال
عنوان ژورنال: ITM web of conferences
سال: 2022
ISSN: ['2271-2097', '2431-7578']
DOI: https://doi.org/10.1051/itmconf/20224902005