On submodular value functions and complex dynamic programming

DOI10.1080/15326349808807514MaRDI QIDQ4221678zbMATH OpenOpenAlexFDO

Authors Ger Koole, Eitan Altman

Publication date 2 December 1998

Published in Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349808807514

zbMATH Keywords

complex dynamic programmingmonotone optimal policiesstochastic controlstochastic gamessubmodular value functions

Mathematics Subject Classification ID

Dynamic programming (90C39) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)

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(9)

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• PRICING OF RAINBOW OPTIONS: GAME THEORETIC APPROACH
• Monotone optimal control for a class of Markov decision processes
• On the Nisan-Ronen conjecture for submodular valuations
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