Paper Info
Title
Optimality of an affine intensity policy for maximizing the probability of an arrival count in point-process intensity control.
Abstract
This paper considers the problem of maximizing the probability of attaining a prescribed count of arrivals generated by a point process, by controlling its intensity. Our analysis shows the existence of optimal intensity switching times that are affine in the arrival count, thereby contributing to the literature on the optimality of affine policies. The optimal intensity control law is established, along with closed-form expressions for its numerical parameters. Several properties of the value function are listed as well.
Year
DOI
Venue
2018
10.1016/j.orl.2017.11.003
Operations Research Letters
Keywords
Field
DocType
Point processes,Optimal stochastic control,Intensity control,Affine decision rules
Affine transformation,Mathematical optimization,Expression (mathematics),Point process,Bellman equation,Mathematics,Stochastic control
Journal
Volume
Issue
ISSN
46
1
0167-6377
Citations 
PageRank 
References 
0
0.34
2
Authors
1
Name
Order
Citations
PageRank
Boris Defourny1256.26