STOCHASTIC CONCAVE DYNAMIC PROGRAMMING

DOI10.1070/SM1972V016N04ABEH001437zbMath0257.90035OpenAlexW2060565563MaRDI QIDQ5672456

E. B. Dynkin

Publication date: 1973

Published in: Mathematics of the USSR-Sbornik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1070/sm1972v016n04abeh001437

Mathematics Subject Classification ID

Convex programming (90C25) Hamilton-Jacobi theories (49L99)

Related Items (12)

Approximate dynamic programming for stochastic linear control problems on compact state spaces ⋮ Stochastic equilibria on graphs. II ⋮ Von Neumann-Gale dynamics and capital growth in financial markets with frictions ⋮ Stochastic equilibria in von Neumann--Gale dynamical systems ⋮ Asset market games of survival: a synthesis of evolutionary and dynamic games ⋮ Stochastic nonlinear Perron-Frobenius theorem ⋮ Optimal Programs and Their Price Characterization in a Multisector Growth Model with Uncertainty ⋮ Dynamic interaction models of economic equilibrium ⋮ Asset pricing and hedging in financial markets with fixed and proportional transaction costs ⋮ The permanent income hypothesis: A theoretical formulation ⋮ Supporting Prices in a Stochastic von Neumann--Gale Model of a Financial Market ⋮ Log-optimal and rapid paths in von Neumann-Gale dynamical systems

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