Information Relaxation and Dual Formulation of Controlled Markov Diffusions

DOI10.1109/TAC.2015.2418672zbMath1360.90284arXiv1303.2388OpenAlexW2085130871MaRDI QIDQ2982547

Fan Ye, Enlu Zhou

Publication date: 16 May 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.2388

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40) Optimality conditions for problems involving randomness (49K45)

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