We consider optimal control problems for systems described by stochastic differential equations with delay. We state conditions for certain classes of such systems under which the stochastic control problems become finite-dimensional. These conditions are illustrated with three applications....

We consider a stochastic control problem over an infinite horizon where the state process is influenced by an unobservable environment process. In particular, the Hidden-Markov-model and the Bayesian model are included. This model under partial information is transformed into an equivalent one...

We propose an optimal schedule for multiple classes of arrivals in a queueing system consisting of queues in tandem. The arrival process for each class is Poisson with different rates, and the service times are constant. A theoretical result is presented by Linear Programming of sample-path...

We consider zero-sum Markov games with incomplete information. Here, the second player is never informed about the current state of the underlying Markov chain. The existence of a value and of optimal strategies for both players is shown. In particular, we present finite algorithms for computing...

We consider a two-station network with two types of jobs: type 0 jobs require service at station 1 only and type 1 jobs require service both at station 1 and 2 in sequence. Each station has a single server. The problem is to schedule the server at station 1 between the two types of jobs in order...