On almost sure optimization for stochastic control systems

DOI10.1080/17442508808833484MaRDI QIDQ4204095zbMATH OpenOpenAlexFDO

Authors Arie Leizarowitz

Publication date 1988

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508808833484

zbMATH Keywords

continuous-timeinfinite time horizon

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Diffusion processes (60J60) Optimal stochastic control (93E20)

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Cites work

• Diffusion processes with boundary conditions
• scientific article; zbMATH DE number 3698843 (Why is no real title available?)
• Infinite horizon stochastic regulation and tracking with the overtaking criterion^∗
• Long-term average cost control problems for continuous time Markov processes: A survey
• On Optimal Control of a Non-Terminating Diffusion Process with Reflection
• Stochastic differential equations with reflecting boundary conditions

Cited in

(12)

• Almost sure optimality and optimality in probability for stochastic control problems over an infinite time horizon
• Almost optimal policies for stochastic systems which almost satisfy conservation laws
• Pathwise optimality in stochastic control
• A central limit theorem for temporally nonhomogenous Markov chains with applications to dynamic programming
• Asymptotic behavior of the solution to a linear stochastic differential equation and almost sure optimality for a controlled stochastic process
• Optimal stochastic control for performance- and stability-robustness
• Weakly coercive problems in nonlinear stochastic control: existence of optimal controls
• scientific article; zbMATH DE number 18954 (Why is no real title available?)
• A Deterministic Approach To Stochastic Optimal Control With Application To Anticipative Control
• scientific article; zbMATH DE number 1484018 (Why is no real title available?)
• Almost sure optimality and optimality in probability for stochastic linear-quadratic regulator with partial information
• Risk-averse stochastic optimal control: an efficiently computable statistical upper bound

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