Almost sure optimality and optimality in probability for stochastic control problems over an infinite time horizon

DOI10.1023/A:1018974112132zbMATH Open0951.93076OpenAlexW2122910631MaRDI QIDQ1808209FDOQ1808209

Giovanni Di Masi, Paolo Dai Pra, Barbara Trivellato

Publication date: 2 December 1999

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1018974112132

zbMATH Keywords

cost functionstochastic differential equationstochastic control problemspathwise optimality criterion

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Cited In (4)

• Almost sure optimality and optimality in probability for stochastic linear-quadratic regulator with partial information
• The optimum stochastic control for a problem with random cost incursion times
• Sample-Path Optimal Stationary Policies in Stable Markov Decision Chains with the Average Reward Criterion
• Stochastic variational formula for fundamental solutions of parabolic PDE

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