Duality and lower bounds in optimal stochastic control

DOI10.1080/00207729408949283zbMath0808.93071OpenAlexW2014670908MaRDI QIDQ4311271

Shinji Tanimoto

Publication date: 26 October 1994

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207729408949283

zbMATH Keywords

dual problemoptimal stochastic controllinear stochastic differential equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Cites Work

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• Conjugate convex functions in optimal stochastic control
• Convex Duality Approach to the Optimal Control of Diffusions
• A duality theorem for max-min control problems
• Survey of Measurable Selection Theorems

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