Pathwise optimality in stochastic control

SIAM Journal on Control and Optimization

Volumn 39, Issue 5, 2001, Pages 1540-1557

  Dai Pra, P ^a   Di Masi, G B ^a   Trivellato, B ^a  

^a UNIVERSITY OF PADOVA   (Italy)

Author keywords

Hamilton Jacobi Bellman equations; Pathwise optimality; Stochastic optimal control

Indexed keywords

DISCRETE TIME CONTROL SYSTEMS; INTEGRAL EQUATIONS; OPTIMAL CONTROL SYSTEMS; STATE SPACE METHODS;

PATHWISE OPTIMALITY;

STOCHASTIC CONTROL SYSTEMS;

EID: 0034775179     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012998334778     Document Type: Article

References (20)

1. On asymptotic optimality in probability and almost surely in dynamic control
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3. Risk-sensitive control on an infinite time horizon
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6. On almost sure optimization for stochastic control systems
7. Optimality almost surely and in probability for a stochastic linear-quadratic regulator
8. Optimality in probability and almost surely. The general scheme and a linear quadratic regulator problem
9. Some remarks about asymptotic optimality
10. Connectivity property and optimality almost surely and in probability