Concepts and methods for discrete and continuous time control under uncertainty
The author discusses the dynamic programming approach to stochastic optimal control problems with finite horizon. These include controlled Markov chains and diffusion processes with possible logarithmic, exponential or power function transforms of the payoff function. A short review of approximation methods and non-standard control problems is given. The paper is illustrated by examples with explicit optimal controls.
scientific article; zbMATH DE number 1202759