Optimal control of random evolutions

DOI10.1080/17442508108833180zbMath0472.93073OpenAlexW2020701804MaRDI QIDQ3927164

Pierre-Louis Lions, Alain Bensoussan

Publication date: 1981

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508108833180

zbMATH Keywords

diffusionBellman equationMarkov chainmartingale problemstochastic control of random evolutions

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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Cites Work

• Estimates near the boundary for solutions of elliptic partial differential equations satisfying general boundary conditions. I
• ON THE DIRICHLET PROBLEM FOR BELLMAN'S EQUATION IN A PLANE DOMAIN
• An Inequality in the Theory of Stochastic Integrals
• Control of a Solution of a Stochastic Integral Equation