Borkar, VS (1991) On Extremal Solutions to Stochastic Control Problems. In: Applied Mathematics and Optimization, 24 (1). pp. 317-330.
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Abstract
We identify two solutions of a controlled diffusion if the corresponding one-dimensional marginals of the state and control process agree.The extreme points of the set of such equivalence classes are shown to correspond to Markov controls.
Item Type: | Journal Article |
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Publication: | Applied Mathematics and Optimization |
Publisher: | Springer |
Additional Information: | Copyright of this article is belong to Springer. |
Keywords: | Optimal stochastic control;Controlled diffusion;Extremal solutions;Markov controls;Marginal classes. |
Department/Centre: | Division of Electrical Sciences > Electrical Engineering |
Date Deposited: | 02 Nov 2006 |
Last Modified: | 27 Feb 2019 11:40 |
URI: | http://eprints.iisc.ac.in/id/eprint/8632 |
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