On almost sure optimization for stochastic control systems

DOI10.1080/17442508808833484zbMath0685.93078OpenAlexW1991137917MaRDI QIDQ4204095

Arie Leizarowitz

Publication date: 1988

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508808833484

zbMATH Keywords

infinite time horizoncontinuous-time

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (2)

Almost sure optimality and optimality in probability for stochastic linear-quadratic regulator with partial information ⋮ A Central Limit Theorem for Temporally Nonhomogenous Markov Chains with Applications to Dynamic Programming

Cites Work

• Unnamed Item
• Long-term average cost control problems for continuous time Markov processes: A survey
• Stochastic differential equations with reflecting boundary conditions
• Infinite horizon stochastic regulation and tracking with the overtaking criterion^∗
• On Optimal Control of a Non-Terminating Diffusion Process with Reflection
• Diffusion processes with boundary conditions

This page was built for publication: On almost sure optimization for stochastic control systems