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On the Existence of Optimal Policies in Stochastic Control

✍ Scribed by Davis, M. H.


Book ID
118206535
Publisher
Society for Industrial and Applied Mathematics
Year
1973
Weight
638 KB
Volume
11
Category
Article
ISSN
0036-1402

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An optimal control problem governed by a semilinear parabolic stochastic di erential equation with nonlinear di usion coe cient is studied and the existence of a quasi-optimal (nonrelaxed) control is proved without assuming convexity of the coe cients. The control state space is not compact and of i