On the Convergence of the Discrete Time Dynamic Programming Equation for General Semigroups

DOI10.1137/0320053zbMath0488.93062OpenAlexW2032190142MaRDI QIDQ3950432

Alain Bensoussan, Maurice Robin

Publication date: 1982

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0320053

zbMATH Keywords

impulse controldiscretization processmaximum subsolutiondiscrete time dynamic programminggeneral Markov semigroups

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Markov semigroups and applications to diffusion processes (47D07) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Existence of optimal solutions to problems involving randomness (49J55)

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