The Lagrange and the vanishing discount techniques to controlled diffusions with cost constraints

DOI10.1016/j.jmaa.2016.01.036zbMath1344.49044OpenAlexW2329385457MaRDI QIDQ5964414

Héctor Jasso-Fuentes, Beatris Adriana Escobedo-Trujillo, Armando Felipe Mendoza-Pérez

Publication date: 29 February 2016

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2016.01.036

zbMATH Keywords

optimal controlLagrange multipliersdynamic programmingdiffusion processesvanishing discount approachconstrained control models

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Numerical methods based on necessary conditions (49M05) Dynamic programming (90C39) Optimal stochastic control (93E20) Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55)

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