On continuous-time discounted stochastic dynamic programming

DOI10.1007/BF01442395zbMath0728.90065OpenAlexW2071854541MaRDI QIDQ805498

Kensuke Tanaka, Hang-Chin Lai

Publication date: 1991

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01442395

zbMATH Keywords

Lagrangian dualitycontinuous-time discounted dynamic programmingMarkov decision

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39)

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Cites Work

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