Controlled Random Fields on an Oriented Graph

DOI10.1137/1133070MaRDI QIDQ3823500zbMATH OpenOpenAlexFDO

Authors Igor V. Evstigneev

Publication date 1988

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/1133070

zbMATH Keywords

stochastic optimizationrandom fieldmaximum principleoriented graphexistence of an optimal controlstability of optimal controls

Mathematics Subject Classification ID

Random fields (60G60) Directed graphs (digraphs), tournaments (05C20) Special processes (60K99) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving randomness (49K45) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

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Cited in

(4)

• Stochastic equilibria on graphs, I
• Dynamic interaction models of economic equilibrium
• Controlled random fields, von Neumann-Gale dynamics and multimarket hedging with risk
• Two-parameter optimal stopping problem with switching costs

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