A distribution stability result for a stochastic optimal control problem

DOI10.1080/02331938708843256MaRDI QIDQ3765691zbMATH OpenOpenAlexFDO

Authors P. Doschkinov

Publication date 1987

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331938708843256

zbMATH Keywords

convergence in distributionstochastic control problemweak convergence

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving randomness (49K45) Convergence of probability measures (60B10) Stochastic programming (90C15) Optimal stochastic control (93E20)

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Cites work

• Convergence of Dynamic Programming Models
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• Random integral equations
• Solving stochastic programming problems with recourse including error bounds
• Stability in stochastic programming with recourse-estimated parameters

Cited in

(2)

• Continuous dependence of stochastic control models on the noise distribution
• Bounded stochastic distributions control for pseudo-ARMAX stochastic systems

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