On the Value Function of Convex Bolza Problems Governed by Stochastic Difference Equations

MaRDI QIDQ7211962arXivFDO

Authors Sebastián Álvarez, Julio Deride, Cristopher Hermosilla

Publication date 2026

Published in arXiv

Mathematics Subject Classification ID

Stochastic difference equations (39A50) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving randomness (49K45) Linear optimal control problems (49N05) Optimal stochastic control (93E20)

arXiv classification

math.OC

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