Bellman's equation in a lattice of measures for general controlled stochastic processes. I

DOI10.1007/BF00969856zbMath0497.49012OpenAlexW4231747190MaRDI QIDQ1170746

H. Pragarauskas

Publication date: 1982

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

Full work available at URL: https://doi.org/10.1007/bf00969856

zbMATH Keywords

Bellman equationslattice of measuresdiffusion dirft and jump

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Diffusion processes (60J60) Abstract differentiation theory, differentiation of set functions (28A15) Existence of optimal solutions to problems involving randomness (49J55)

Related Items

Dual adaptive controls for linear system with unknown constant parameters

Cites Work

• Bellman's equation for uniformly nondegenerate stochastic processes
• Traditional proof of Bellman's equation for controlled diffusion processes
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