Logarithmic transformations for discrete-time, finite-horizon stochastic control problems
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Publication:1105560
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
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
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