Two approaches to stochastic optimal control problems with a final-time expectation constraint
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Publication:1754665
DOI10.1007/s00245-016-9378-9zbMath1391.90446OpenAlexW2511661721MaRDI QIDQ1754665
Publication date: 31 May 2018
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-016-9378-9
dynamic programmingstochastic optimal controlLagrange relaxationexpectation and probability constraints
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