Composition and invariance methods for solving some stochastic control problems

DOI10.2307/1426079zbMATH Open0334.93056OpenAlexW4238221380MaRDI QIDQ4101716FDOQ4101716

Authors: Václav E. Beneš 

Publication date: 1975

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1426079

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Cited In (6)

• Examples of optimal control for partially observable systems:comparison, classical, and martingale methods
• Optimal control for a class of partially observable systems^†
• Optimal cash management under uncertainty
• Existence of optimal controls for partially observed linear diffusions
• On Benes' bang-bang control problem
• A leavable bounded-velocity stochastic control problem.

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