An optimal control problem with a random stopping time
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Publication:1823913
DOI10.1007/BF00939419zbMath0681.93070OpenAlexW2001943330MaRDI QIDQ1823913
Philippe Michel, Alain B. Haurie, El-Kébir Boukas
Publication date: 1990
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf00939419
dynamic programmingstochastic optimal controlinfinite-horizon optimal control problemminimum principle techniques
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)
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Cites Work
- Existence theorems for Lagrange control problems with unbounded time domain
- Optimal control of piecewise deterministic markov process
- On the Transversality Condition in Infinite Horizon Optimal Problems
- Necessary Conditions for Optimal Control Problems with Infinite Horizons
- Dynamic Programming and Minimum Principles for Systems with Jump Markov Disturbances
- Control of systems with jump Markov disturbances
- Sufficient Conditions for Optimality and the Justification of the Dynamic Programming Method
- On the Admissible Synthesis in Optimal Control Theory and Differential Games
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