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Optimal control of random evolutions

 

作者: A. Bensoussan,   P. L Lions,  

 

期刊: Stochastics  （Taylor Available online 1981）
卷期: Volume 5, issue 3  

页码: 169-190

 

ISSN:0090-9491

 

年代: 1981

 

DOI:10.1080/17442508108833180

 

出版商: Gordon and Breach Science Publishers, Inc

 

数据来源: Taylor

 

摘要:

We consider a stochastic control problem for a random evolution. We study the Bellman equation of the problem and we prove the existence of an optimal stochastic control which is Markovian. This problem enables us to approximate the general problem of the optimal control of solutions of stochastic differential equations.

 

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