53 citations · 81 across the 9 of their papers we have counts for
10 papers
Kolmogorov's Equations for Jump Markov Processes and their Applications to Control Problems
Eugene A. Feinberg, Albert N. Shiryaev
This paper describes the structure of solutions to Kolmogorov's equations for nonhomogeneous jump Markov processes and applications of these results to control of jump stochastic s…
Sufficiency of Markov Policies for Continuous-Time Jump Markov Decision Processes
Eugene A. Feinberg, Manasa Mandava, Albert N. Shiryaev
This paper extends to Continuous-Time Jump Markov Decision Processes (CTJMDP) the classic result for Markov Decision Processes stating that, for a given initial state distribution,…
Kolmogorov's Equations for Jump Markov Processes with Unbounded Jump Rates
Eugene A. Feinberg, Manasa Mandava, Albert N. Shiryaev
As well-known, transition probabilities of jump Markov processes satisfy Kolmogorov's backward and forward equations. In the seminal 1940 paper, William Feller investigated solutio…
A quickest detection problem with an observation cost
Robert C. Dalang, Albert N. Shiryaev
In the classical quickest detection problem, one must detect as quickly as possible when a Brownian motion without drift "changes" into a Brownian motion with positive drift. The c…
On solutions of Kolmogorov's equations for jump Markov processes
Eugene A. Feinberg, Manasa Mandava, Albert N. Shiryaev
This paper studies three ways to construct a nonhomogeneous jump Markov process: (i) via a compensator of the random measure of a multivariate point process, (ii) as a minimal solu…
Optimal stopping problems for a Brownian motion with a disorder on a finite interval
A. N. Shiryaev, M. V. Zhitlukhin
We consider optimal stopping problems for a Brownian motion and a geometric Brownian motion with a "disorder", assuming that the moment of a disorder is uniformly distributed on a…