✦ LIBER ✦

Characterization of optimality for controlled diffusion processes

✍ Scribed by Xun Yu Zhou

Publisher: Elsevier Science
Year: 1997
Tongue: English
Weight: 331 KB
Volume: 31
Category: Article
ISSN: 0167-6911
DOI: 10.1016/s0167-6911(97)00024-8

No coin nor oath required. For personal study only.

✦ Synopsis

This paper studies controlled systems governed by Ito's stochastic differential equations where control variables are allowed to enter both drift and diffusion terms. Optimal controls are characterized by necessary and sufficient conditions which involve super-differentials and sub-differentials, rather than derivatives, of the value functions.

📜 SIMILAR VOLUMES

Optimality criteria for controlled disco

Optimality criteria for controlled discontinous processes

✍ Izidor Gertner; David Rappaport 📂 Article 📅 1979 🏛 Elsevier Science 🌐 English ⚖ 822 KB

Optimality for controlled jump processes

Optimality for controlled jump processes: a simple approach

✍ Siu Fai Leung 📂 Article 📅 1993 🏛 Springer 🌐 English ⚖ 429 KB

Optimal control of diffusion processes w

Optimal control of diffusion processes with reflection

✍ M. L. Puterman 📂 Article 📅 1977 🏛 Springer 🌐 English ⚖ 691 KB

Almost self-optimizing strategies for th

Almost self-optimizing strategies for the adaptive control of diffusion processes

✍ T. E. Duncan; B. Pasik-Duncan; L. Stettner 📂 Article 📅 1994 🏛 Springer 🌐 English ⚖ 903 KB

On optimal control of a non-stopped diff

On optimal control of a non-stopped diffusion process

✍ Petr Mandl 📂 Article 📅 1965 🏛 Springer 🌐 English ⚖ 353 KB

Traditional proof of Bellman's equation

Traditional proof of Bellman's equation for controlled diffusion processes

✍ N. Krylov 📂 Article 📅 1981 🏛 Springer 🌐 English ⚖ 532 KB