Concepts and methods for discrete and continuous time control under uncertainty
type: Item
instance of: scholarly article
title: Concepts and methods for discrete and continuous time control under uncertainty
zbMATH Open document ID: 0916.93085
DOI: 10.1016/S0167-6687(98)00006-7
author: Wolfgang J. Runggaldier
published in: Insurance Mathematics \& Economics
publication date: 1999-07-19T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 49L20
zbMATH DE Number: 1202759
zbMATH Keywords: dynamic programming
zbMATH Keywords: stochastic optimal control
zbMATH Keywords: finite horizon
zbMATH Keywords: controlled Markov chains
zbMATH Keywords: transforms of the payoff function
reviewed by: Henrikas Pragarauskas
MaRDI profile type: Publication
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full work available at URL: s0167-6687(98)00006-7
OpenAlex ID: W2069374190
description: scientific article; zbMATH DE number 1202759