Pathwise optimality in stochastic control

Authors
Pra, PD Di Masi, GB Trivellato, B
Citation
Pd. Pra et al., Pathwise optimality in stochastic control, SIAM J CON, 39(5), 2001, pp. 1540-1557
Citations number
20
Categorie Soggetti
Mathematics,"Engineering Mathematics
Journal title
SIAM JOURNAL ON CONTROL AND OPTIMIZATION
ISSN journal
03630129 → ACNP
Volume
39
Issue
5
Year of publication
2001
Pages
1540 - 1557
Database
ISI
SICI code
0363-0129(20010305)39:5<1540:POISC>2.0.ZU;2-U
Abstract
We introduce a notion of pathwise optimality for stochastic control problem s over an infinite time horizon, and give sufficient conditions for the exi stence of pathwise optimal controls. We analyze both diffusion processes an d processes with discrete state space.