Sensitive discount optimality in controlled one-dimensional diffusions

DOI10.1214/AOP/1176996656MaRDI QIDQ1845695zbMATH OpenOpenAlexFDO

Authors Martin L. Puterman

Publication date 1974

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176996656

Mathematics Subject Classification ID

Diffusion processes (60J60) Markov processes (60J99) Optimal stochastic control (93E20)

Cited in

(12)

• Blackwell-Nash Equilibria in Zero-Sum Stochastic Differential Games
• Discount-sensitive equilibria in zero-sum stochastic differential games
• Blackwell optimality in the class of Markov policies for continuous-time controlled Markov chains
• Blackwell optimal policies in a Markov decision process with a Borel state space
• A survey of recent results on continuous-time Markov decision processes (with comments and rejoinder)
• Blackwell Optimality for Controlled Diffusion Processes
• Bias and Overtaking Optimality for Continuous-Time Jump Markov Decision Processes in Polish Spaces
• Optimal control of one dimensional non-conservative quasi-diffusion processes
• Controlled one dimensional diffusions with switching costs - average cost criterion
• Ergodic Control, Bias, and Sensitive Discount Optimality for Markov Diffusion Processes
• Four Canadian Contributions to Stochastic Modeling
• Strong n-discount and finite-horizon optimality for continuous-time Markov decision processes

This page was built for publication: Sensitive discount optimality in controlled one-dimensional diffusions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1845695)