On extremal solutions to stochastic control problems, II

Borkar, VS (1993) On extremal solutions to stochastic control problems, II. In: Applied Mathematics and Optimization, 28 (1). pp. 49-56.

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Abstract

The set of attainable laws of the joint state-control process of a controlled diffusion is analyzed from a convex analytic viewpoint. Various equivalence relations depending on one-dimensional marginals thereof are defined on this set and the corresponding equivalence classes are studied.

Item Type:	Journal Article
Publication:	Applied Mathematics and Optimization
Publisher:	Springer
Additional Information:	Copyright of this article belongs to Springer.
Keywords:	Optimal stochastic control;Controlled diffusions;Extremal solutions;Pre-Markov controls;Marginal classes
Department/Centre:	Division of Electrical Sciences > Electrical Engineering
Date Deposited:	21 Feb 2011 05:03
Last Modified:	27 Feb 2019 11:00
URI:	http://eprints.iisc.ac.in/id/eprint/35643

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