Optimal control of random evolutions

DOI10.1080/17442508108833180MaRDI QIDQ3927164zbMATH OpenOpenAlexFDO

Authors P.-L. Lions, Alain Bensoussan

Publication date 1981

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508108833180

zbMATH Keywords

Bellman equationdiffusionMarkov chainmartingale problemstochastic control of random evolutions

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60) Optimal stochastic control (93E20)

Cites work

• An Inequality in the Theory of Stochastic Integrals
• Control of a Solution of a Stochastic Integral Equation
• Estimates near the boundary for solutions of elliptic partial differential equations satisfying general boundary conditions. I
• ON THE DIRICHLET PROBLEM FOR BELLMAN'S EQUATION IN A PLANE DOMAIN

Cited in

(8)

• Résolution analytique des problèmes de Bellman-Dirichlet
• Nonlinear potentials for Hamilton-Jacobi-Bellman equations
• The vanishing discount problem for monotone systems of Hamilton-Jacobi equations. II: Nonlinear coupling
• Lyapunov criteria for the Feller-Dynkin property of martingale problems
• Ergodic switching control for diffusion-type processes
• scientific article; zbMATH DE number 3879389 (Why is no real title available?)
• Le problème de Cauchy pour les équations de Hamilton-Jacobi-Bellman
• Ergodic switching control for Markov-Feller processes. I

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