scientific article; zbMATH DE number 4031479

MaRDI QIDQ3772035zbMATH OpenFDO

Authors Dimitri P. Bertsekas, Steven Shreve

Publication date 1985

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to systems and control theory (93-01)

Cited in

(6)

• Discrete stochastic system linear output control with respect to a quadratic criterion
• A guaranteed deterministic approach to superhedging: most unfavorable scenarios of market behaviour and moment problem
• Solutions of semi-Markov control models with recursive discount rates and approximation by \(\epsilon\)-optimal policies.
• A guaranteed deterministic approach to superhedging: financial market model, trading constraints and Bellman-Isaacs equations
• Strong average optimality criterion for continuous-time Markov decision processes
• Stability estimating in optimal stopping problem

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