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Stochastic Hybrid Control, A. Bensoussan, J. L. Menaldi
Stochastic Hybrid Control, A. Bensoussan, J. L. Menaldi
Mathematics Faculty Research Publications
The objective of this paper is to study the stochastic version of a previous paper of the authors, in which hybrid control for deterministic systems was considered. The modelling is quite similar to the deterministic case. We have a system whose state is composed of a continuous part and a discrete part. They are affected by a continuous type control and an impulse control. The dynamics is moreover perturbed by noise, also a continuous and a discrete noise process. The Markovian character of the state process is preserved. We develop the model and show how the dynamic programming approach leads …