Bellman's equation in a lattice of measures for general controlled stochastic processes. I

DOI10.1007/BF00969856zbMath0497.49012MaRDI QIDQ1170746

H. Pragarauskas

Publication date: 1982

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

Bellman equations; lattice of measures; diffusion dirft and jump

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

60J60: Diffusion processes

28A15: Abstract differentiation theory, differentiation of set functions

49J55: Existence of optimal solutions to problems involving randomness

Cites Work

• Bellman's equation for uniformly nondegenerate stochastic processes
• Traditional proof of Bellman's equation for controlled diffusion processes
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