Asymptotic behavior of the Bellman function in a stochastic optimal control problem

DOI10.1016/0021-8928(81)90032-0zbMath0494.93063OpenAlexW2005185848MaRDI QIDQ1169447

Alexander Ovseevich

Publication date: 1981

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

Full work available at URL: https://doi.org/10.1016/0021-8928(81)90032-0

zbMATH Keywords

Bellman functionquasi-optimal controllimited control power

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Existence of optimal solutions to problems involving randomness (49J55)

Cites Work

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• Self-similar solutions of the Bellman equation for optimal correction of random disturbances
• Extremal strategies in differential games with integral constraints
• Diffusion processes with continuous coefficients, II