Bellman equations for scalar linear convex stochastic control problems

DOI10.4064/BC122-5MaRDI QIDQ4989144zbMATH OpenOpenAlexFDO

Authors T. E. Duncan, B. Pasik-Duncan, Łukasz Stettner

Publication date 20 May 2021

Published in Banach Center Publications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4064/bc122-5

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Optimal stochastic control (93E20) Least squares and related methods for stochastic control systems (93E24)

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Cites work

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• scientific article; zbMATH DE number 837313 (Why is no real title available?)
• Linear convex stochastic control problems over an infinite horizon
• Linear-Exponential-Quadratic Gaussian Control
• Linear-quadratic fractional Gaussian control
• Measurable Selection and Dynamic Programming
• Solution of a class of stochastic linear-convex control problems using deterministic equivalents
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Cited in

(8)

• Bellman functions in the optimization of dynamic systems under uncertainty
• Solution of a class of stochastic linear-convex control problems using deterministic equivalents
• On Bellman's equations for mean and variance control of a Markov diffusion
• scientific article; zbMATH DE number 4091392 (Why is no real title available?)
• scientific article; zbMATH DE number 4112417 (Why is no real title available?)
• scientific article; zbMATH DE number 1484942 (Why is no real title available?)
• Numerical convergence for the Bellman equation of stochastic optimal control with quadratic costs and constraints
• Duality method for multidimensional nonsmooth constrained linear convex stochastic control

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