Convexity in stochastic control

zbMath0995.93076MaRDI QIDQ5943514

Vivek S. Borkar

Publication date: 17 October 2002

Published in: Differential Equations and Dynamical Systems (Search for Journal in Brave)

zbMATH Keywords

dynamic programmingdualizationvalue functionexistence of optimal controlextremal measuresstatic optimization on convex set of measures

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stochastic systems in control theory (general) (93E03)

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