Existence of Markov Controls and Characterization of Optimal Markov Controls
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Publication:4388926
DOI10.1137/S0363012995295516zbMath0935.93064OpenAlexW2068098627MaRDI QIDQ4388926
Thomas G. Kurtz, Richard H. Stockbridge
Publication date: 10 May 1998
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0363012995295516
linear programmingstochastic optimal controlstationary processesoptimal controlsmartingale problemsoccupation measuresMarkov controlsrelaxed solution
Continuous-time Markov processes on general state spaces (60J25) Linear programming (90C05) Optimal stochastic control (93E20) Transition functions, generators and resolvents (60J35)
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