Almost sure optimality and optimality in probability for stochastic control problems over an infinite time horizon

DOI10.1023/A:1018974112132zbMath0951.93076OpenAlexW2122910631MaRDI QIDQ1808209

Giovanni B. Di Masi, Paolo Dai Pra, Barbara Trivellato

Publication date: 2 December 1999

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1018974112132

zbMATH Keywords

stochastic differential equationcost functionstochastic control problemspathwise optimality criterion

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimality conditions for problems involving randomness (49K45)

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