The Sufficiency of Adjoined Markov Strategies for Controlled Diffusion Processes

DOI10.1137/1131035MaRDI QIDQ3757805zbMATHOpenAlexFDO

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

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)

Recommendations

• Adaptive Strategies for Certain Classes of Controlled Markov Processes
• scientific article; zbMATH DE number 3902531
• scientific article; zbMATH DE number 3852937
• scientific article; zbMATH DE number 125276
• Publication:4731735
• Asymptotically Efficient Adaptive Choice of Control Laws inControlled Markov Chains
• An Ergodic Control Problem for Constrained Diffusion Processes: Existence of Optimal Markov Control
• scientific article; zbMATH DE number 4121152
• Adjoint processes in stochastic optimal control problems

Cited in

(3)

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

This page was built for publication: The Sufficiency of Adjoined Markov Strategies for Controlled Diffusion Processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3757805)