Pathwise optimality in stochastic control

被引：12

作者：

Pra, PD ^{[1
]}

Di Masi, GB ^{[1
]}

Trivellato, B ^{[1
]}

机构：

[1] Univ Padua, Dipartimento Matemat Pura & Applicata, I-35131 Padua, Italy

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2000年 / 39卷 / 05期

关键词：

stochastic optimal control; Hamilton-Jacobi-Bellman equations; pathwise optimality;

D O I：

10.1137/S0363012998334778

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

We introduce a notion of pathwise optimality for stochastic control problems over an infinite time horizon, and give sufficient conditions for the existence of pathwise optimal controls. We analyze both diffusion processes and processes with discrete state space.

引用

页码：1540 / 1557

页数：18

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