On continuous-time discounted stochastic dynamic programming (Q805498): Difference between revisions

The paper deals with a continuous-time discounted dynamic programming problem in a Markov decision model. In detail, the aim of the paper is to study the relation between the original dynamic constrained problem and a Lagrangian-type programming problem. For this the Lagrangian function and a weak optimal solution are defined. Furthermore, assumptions are introduced under which both problems are equivalent. The Lagrangian duality theorem is presented at the end of the paper.