Time-average control of martingale problems: the hamilton-jacobi-bellman equation

DOI10.1080/17442508908833578zbMath0673.49009OpenAlexW2025391447MaRDI QIDQ3827156

Richard H. Stockbridge

Publication date: 1989

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508908833578

zbMATH Keywords

Hamilton-Jacobi-Bellman equationmartingale problemaverage costControlled diffusionscontrolled queuesMartingale methods

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Hamilton-Jacobi theories (49L99)

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