Blackwell Optimality for Controlled Diffusion Processes

DOI10.1239/JAP/1245676094MaRDI QIDQ5321756zbMATH OpenOpenAlexFDO

Authors Héctor Jasso-Fuentes, Onésimo Hernández-Lerma

Publication date 15 July 2009

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1245676094

zbMATH Keywords

average rewardblackwell optimalitycontrolled diffusionsLaurent seriessensitive discount optimality

Mathematics Subject Classification ID

Diffusion processes (60J60) Optimal stochastic control (93E20)

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Cited in

(7)

• Discounted robust control for Markov diffusion processes
• Ergodic Control, Bias, and Sensitive Discount Optimality for Markov Diffusion Processes
• Bias and overtaking equilibria for zero-sum stochastic differential games
• scientific article; zbMATH DE number 1786120 (Why is no real title available?)
• Controlled Switching Diffusions Under Ambiguity: The Average Criterion
• Blackwell-Nash Equilibria in Zero-Sum Stochastic Differential Games
• Strong n-discount and finite-horizon optimality for continuous-time Markov decision processes

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