Concepts and methods for discrete and continuous time control under uncertainty (Q1265914): Difference between revisions
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English | Concepts and methods for discrete and continuous time control under uncertainty |
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Concepts and methods for discrete and continuous time control under uncertainty (English)
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19 July 1999
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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.
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dynamic programming
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stochastic optimal control
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finite horizon
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controlled Markov chains
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transforms of the payoff function
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