Logarithmic transformations for discrete-time, finite-horizon stochastic control problems

DOI10.1007/BF01443619zbMath0648.93069MaRDI QIDQ1105560

Francesca Albertini, Wolfgang J. Runggaldier

Publication date: 1988

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01443619

zbMATH Keywords

dynamic programming; logarithmic transformations; discrete-time stochastic control problems

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

93C55: Discrete-time control/observation systems

90C39: Dynamic programming

93B17: Transformations

93E20: Optimal stochastic control

93E03: Stochastic systems in control theory (general)

49K45: Optimality conditions for problems involving randomness

Related Items

Concepts and methods for discrete and continuous time control under uncertainty

Cites Work

• Optimal Control and Nonlinear Filtering for Nondegenerate Diffusion Processes
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