摘要:

The paper gives sufficient, and in some cases necessary and sufficient, conditions for the mild solution of a stochastic linear equation to be regular both "in time" and "in space" or to be the strong solution

ISSN:0090-9491    

DOI:10.1080/17442508708833480

出版商:Gordon and Breach, Science Publishers, Inc    

年代:1988

数据来源: Taylor

摘要:

In the case of both continuously and impulsively controlled Markov-type stochastic processes the usual Bellman optimality equation for the value functionvturns into a system of the form T1v≤0, T2v≤0, T1v. T2v= 0, where T1and T2are, respectively, a non-differential and a differential non-linear operators ‘in the controlled diffusion this system became known as "quasi variational inequalities"». We examine to what extent analogous inequalities are valid in Markov decision deterministic drift processes, in which randomness affects only jumps. As auxiliary results we prove that v is upper semianalytic, that almost everywhere E-optimal policies do exist, and also prove a defect formula for policies which is closely related to the inequalities in consideration. Our investigation is based on the concept of stochastic processes with a randomly split time parameter

ISSN:0090-9491    

DOI:10.1080/17442508708833481

出版商:Gordon and Breach, Science Publishers, Inc    

年代:1988

数据来源: Taylor

ISSN:0090-9491    

DOI:10.1080/17442508708833479

出版商:Gordon and Breach Science Publishers    

年代:1988

数据来源: Taylor