The Sufficiency of Adjoined Markov Strategies for Controlled Diffusion Processes

DOI10.1137/1131035zbMATH Open0619.93075OpenAlexW1986026230MaRDI QIDQ3757805FDOQ3757805

Authors: N. V. Krylov 

Publication date: 1987

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1131035

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zbMATH Keywords

\(\epsilon \)-optimal policycontrolled diffusionsadjoint Markov policies

Mathematics Subject Classification ID

Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

Cited In (3)

• Martingale problems for some degenerate Kolmogorov equations
• Characterizations of overtaking optimality for controlled diffusion processes
• Near optimality of Lipschitz and smooth policies in controlled diffusions

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