Uniqueness of the solution of Bellman's equation in the case of general controlled processes

DOI10.1007/BF00969616zbMath0568.49010MaRDI QIDQ1060407

H. Pragarauskas

Publication date: 1982

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

diffusionBellman's equationpayoff functiondriftcontrolled stochastic processesnonlinear singular integrodifferential equationjump componentslattice of measures

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Integro-partial differential equations (45K05) Optimal stochastic control (93E20) Diffusion processes (60J60) Abstract differentiation theory, differentiation of set functions (28A15) Existence of optimal solutions to problems involving randomness (49J55)

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