Logarithmic transformations for discrete-time, finite-horizon stochastic control problems

DOI10.1007/BF01443619zbMath0648.93069OpenAlexW1992187471MaRDI QIDQ1105560

Francesca Albertini, Wolfgang J. Runggaldier

Publication date: 1988

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01443619

zbMATH Keywords

dynamic programminglogarithmic transformationsdiscrete-time stochastic control problems

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Discrete-time control/observation systems (93C55) Dynamic programming (90C39) Transformations (93B17) Optimal stochastic control (93E20) Stochastic systems in control theory (general) (93E03) Optimality conditions for problems involving randomness (49K45)

Related Items (1)

Concepts and methods for discrete and continuous time control under uncertainty

Cites Work

• Optimal Control and Nonlinear Filtering for Nondegenerate Diffusion Processes
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