Two characterizations of optimality in dynamic programming

DOI10.1007/s00245-009-9093-xzbMath1196.49023OpenAlexW2161286856MaRDI QIDQ1959687

Ioannis Karatzas, William D. Sudderth

Publication date: 7 October 2010

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

Full work available at URL: https://doi.org/10.1007/s00245-009-9093-x

zbMATH Keywords

dynamic programmingoptimalityEuler equationstransversality conditionenvelope equationequalizationthriftiness

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimality conditions for free problems in two or more independent variables (49K10)

Related Items (8)

Robust Markov control processes ⋮ Discounted dynamic programming with unbounded returns: application to economic models ⋮ A version of the Euler equation in discounted Markov decision processes ⋮ Inflationary equilibrium in a stochastic economy with independent agents ⋮ Markov decision processes associated with two threshold probability criteria ⋮ Stochastic games with unbounded payoffs: applications to robust control in economics ⋮ Generalised discounting in dynamic programming with unbounded returns ⋮ Finitely Additive Dynamic Programming

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• Necessity of the transversality condition for stochastic models with bounded or CRRA utility
• Stochastic optimal control. The discrete time case
• On optimal policies and martingales in dynamic programming
• Discounted Dynamic Programming
• Negative Dynamic Programming
• Convex Analysis

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