A technique for stochastic control problems with unbounded control set
type: Item
instance of: scholarly article
title: A technique for stochastic control problems with unbounded control set
zbMATH Open document ID: 0928.93069
DOI: 10.1023/A:1021761030407
author: K. Appert
published in: Journal of Theoretical Probability
publication date: 2000-01-09T00:00:00Z
review text: A technique in the time domain for solving stochastic control problems with an unbounded control set is described. The technique is applied to a class of maximization problems that do not have optimal controls. For such a given problem, an extended problem is formulated which has the same value function as the original problem and for which there exist optimal controls that are expressible in simple terms. In this way, a sequence of suboptimal controls for the original problem is obtained. For this sequence the payoff functions approach the value function.
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 1275656
zbMATH Keywords: approximation
zbMATH Keywords: stochastic control
zbMATH Keywords: suboptimal controls
reviewed by: Ryszard Gessing
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 1275656