We introduce a notion of pathwise optimality for stochastic control problems over an infinite time horizon, and give sufficient conditions for the existence of pathwise optimal controls. We analyze both diffusion processes and processes with discrete state space.
Pathwise optimality in stochastic control
DAI PRA, PAOLO;
2000-01-01
Abstract
We introduce a notion of pathwise optimality for stochastic control problems over an infinite time horizon, and give sufficient conditions for the existence of pathwise optimal controls. We analyze both diffusion processes and processes with discrete state space.
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