Concepts and methods for discrete and continuous time control under uncertainty
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Publication:1265914
DOI10.1016/S0167-6687(98)00006-7zbMath0916.93085MaRDI QIDQ1265914
Publication date: 19 July 1999
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
dynamic programming; stochastic optimal control; finite horizon; controlled Markov chains; transforms of the payoff function
49L20: Dynamic programming in optimal control and differential games
93E20: Optimal stochastic control
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