The Sufficiency of Adjoined Markov Strategies for Controlled Diffusion Processes

DOI10.1137/1131035zbMath0619.93075OpenAlexW1986026230MaRDI QIDQ3757805

Nicolai V. Krylov

Publication date: 1987

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1131035

zbMATH Keywords

controlled diffusions\(\epsilon \)-optimal policyadjoint Markov policies

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45)

Related Items (1)

Martingale problems for some degenerate Kolmogorov equations

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