A topology for Markov controls

DOI10.1007/BF01447645zbMath0682.60031OpenAlexW2069567186MaRDI QIDQ1824277

Vivek S. Borkar

Publication date: 1989

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

Full work available at URL: https://doi.org/10.1007/bf01447645

zbMATH Keywords

controlled nondegenerate diffusionMarkov relaxed controls

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Diffusion processes (60J60)

Related Items (11)

Mimicking finite dimensional marginals of a controlled diffusion by simpler controls ⋮ Geometry of information structures, strategic measures and associated stochastic control topologies ⋮ Continuity of cost in Borkar control topology and implications on discrete space and time approximations for controlled diffusions under several criteria ⋮ Constrained stochastic differential games with additive structure: average and discount payoffs ⋮ Controlled diffusions with constraints ⋮ Strict monotonicity of principal eigenvalues of elliptic operators in \(\mathbb R^d\) and risk-sensitive control ⋮ Ergodic control of multidimensional diffusions. II: Adaptive control ⋮ The Lagrange and the vanishing discount techniques to controlled diffusions with cost constraints ⋮ Zero-sum stochastic differential games with risk-sensitive cost ⋮ On the relative value iteration with a risk-sensitive criterion ⋮ Nonzero-sum stochastic differential games with additive structure and average payoffs

Cites Work

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• The probabilistic structure of controlled diffusion processes
• Existence results for optimal stochastic controls
• Nearly Optimal State Feedback Controls for Stochastic Systems with Wideband Noise Disturbances
• ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS
• Compactification methods in the control of degenerate diffusions: existence of an optimal control
• Bounds for the fundamental solution of a parabolic equation
• Existence of Optimal Stochastic Control Laws

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