Optimal Markov strategies for controlled Ito processes

DOI10.1007/BF00966076MaRDI QIDQ751044zbMATH OpenFDO

Authors R. Mikulevicius, Henrikas Pragarauskas

Publication date 1989

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

optimal control problemGreen measuresMarkov optimal control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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• Diffusion processes associated with L�vy generators
• On the extension of von Neumann-Aumann's theorem
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(2)

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