Characterizations of overtaking optimality for controlled diffusion processes
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Cites work
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- A Liapounov bound for solutions of the Poisson equation
- A counterexample on overtaking optimality
- Average Optimality in Markov Control Processes via Discounted-Cost Problems and Linear Programming
- Average cost Markov control processes with weighted norms: existence of canonical policies
- Bias Optimality for Continuous-Time Controlled Markov Chains
- Bias and overtaking equilibria for zero-sum continuous-time Markov games
- Conditions for optimality in dynamic programming and for the limit of n-stage optimal policies to be optimal
- Continuous-time controlled Markov chains with discounted rewards
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- On overtaking optimal tracking for linear systems
- On the Bellman equation of the overtaking criterion
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- On the Poisson equation for singular diffusions
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- Optimal Plans for Dynamic Programming Problems
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Cited in
(32)- Blackwell-Nash Equilibria in Zero-Sum Stochastic Differential Games
- Nonzero-sum stochastic differential games with additive structure and average payoffs
- Discount-sensitive equilibria in zero-sum stochastic differential games
- Bias and overtaking equilibria for zero-sum stochastic differential games
- On a class of infinite horizon optimal control problems
- Turnpike properties of approximate solutions of dynamic discrete time zero-sum games
- Optimal ergodic control of Markov diffusion processes with minimum variance
- Discounted robust control for Markov diffusion processes
- Structure of approximate solutions for discrete-time control systems arising in economic dynamics
- Structure of solutions of variational problems with extended-valued integrands in the regions close to the endpoints
- Convergence of solutions of optimal control problems with discounting on large intervals in the regions close to the endpoints
- Solving infinite-horizon optimal control problems of the time-delayed systems by Haar wavelet collocation method
- One-dimensional infinite horizon nonconcave optimal control problems arising in economic dynamics
- Blackwell Optimality for Controlled Diffusion Processes
- Existence of solutions for a class of nonconcave infinite horizon optimal control problems
- Stability of a turnpike phenomenon for approximate solutions of nonautonomous discrete-time optimal control systems
- Bias and Overtaking Optimality for Continuous-Time Jump Markov Decision Processes in Polish Spaces
- An iterative method for suboptimal control of a class of nonlinear time-delayed systems
- Discrete Time Optimal Control Problems on Large Intervals
- Overtaking optimality for controlled Markov-modulated diffusions
- Structure of solutions of discrete time optimal control problems in the regions close to the endpoints
- Turnpike results for a class of discrete-time optimal control problems arising in economic dynamics
- Structure of approximate solutions of dynamic continuous time zero-sum games
- On the use of stochastic differential games against nature to ergodic control problems with unknown parameters
- Adaptive control of diffusion processes with a discounted reward criterion
- Policy iteration algorithms for zero-sum stochastic differential games with long-run average payoff criteria
- Stability of a turnpike phenomenon for a discrete-time optimal control system
- Structure of approximate solutions of discrete time optimal control Bolza problems on large intervals
- The Lagrange approach to ergodic control of diffusions with cost constraints
- Controlled Switching Diffusions Under Ambiguity: The Average Criterion
- The Lagrange and the vanishing discount techniques to controlled diffusions with cost constraints
- Constrained stochastic differential games with additive structure: average and discount payoffs
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