Subdifferentials of value functions in nonconvex dynamic programming for nonstationary stochastic processes

DOI10.31390/COSA.13.3.05MaRDI QIDQ6925895zbMATH OpenFDO

Authors Boris S. Mordukhovich, Nobusumi Sagara

Publication date 25 September 2025

Published in Communications on Stochastic Analysis (Search for Journal in Brave)

Mathematics Subject Classification ID

Nonsmooth analysis (49J52) Sensitivity, stability, well-posedness (49K40) Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02)

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